Credit Suisse plans high/low coupon callable notes on index, two funds

By Marisa Wong

Madison, Wis., Oct. 24 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Oct. 31, 2013 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if any underlying component falls to or below the knock-in level during a quarterly observation period. The knock-in level will be about 60% of the initial level and will be set at pricing.

If a knock-in event never occurs, the coupon will be 12%, with the exact coupon to be set at pricing. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.

The notes are callable on any interest payment date.

If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.

The notes (Cusip: 22546TF48) are expected to price Oct. 26 and settle Oct. 31.

Credit Suisse Securities (USA) LLC is the agent.

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