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

By Toni Weeks

San Diego, Aug. 18 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Aug. 27, 2012 linked to the United States Oil Fund, LP and the Energy Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either fund falls to or below 75% of its initial level during a quarterly observation period.

If a knock-in event never occurs, the coupon will be 15%.

If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 3%. Interest is payable quarterly.

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

The payout at maturity will be par unless either fund falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-performing fund, up to a maximum payout of par.

The notes (Cusip: 22546TDN8) are expected to price Aug. 22 and settle Aug. 25.

Credit Suisse Securities (USA) LLC is the agent.

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