Credit Suisse plans high/low coupon notes linked to Russell, ETFs

By Angela McDaniels

Tacoma, Wash., Jan. 22 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Aug. 13, 2014 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 will occur if any underlying component closes at or below its knock-in level, which is expected to be 60% of the initial level.

Interest will be payable monthly. The coupon will be 10.25% to 11.25% per year unless a knock-in event occurs, in which case the coupon is expected to be 1% per year for that and each subsequent month. The exact coupon rates will be set at pricing.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lowest-performing underlying component, subject to a maximum payout of par.

The notes will be callable at par on any interest payment date.

The notes are expected to price Feb. 8 and settle Feb. 13.

Credit Suisse Securities (USA) LLC is the underwriter.

The Cusip number is 22546TV24.

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