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

By Jennifer Chiou

New York, Dec. 19 – Credit Suisse AG plans to price high/low coupon callable yield notes due June 29, 2016 linked to the United States Oil Fund, LP and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if either underlying component closes at or below its knock-in level, 60% of its initial level, on any day during the life of the notes.

Interest is payable quarterly. The coupon will be 13.25% to 16.25% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period. The exact 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 lower-performing underlying component, subject to a maximum payout of par.

The notes are callable at par on any interest payment date beginning on March 30.

The notes (Cusip: 22547QZP4) will price on Dec. 23 and settle on Dec. 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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