Credit Suisse plans high/low coupon callable notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Oct. 31 – Credit Suisse AG plans to price high/low coupon callable yield notes due May 31, 2016 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if either underlying index closes below its knock-in level during the life of the notes. The knock-in levels are expected to be 65% to 70% of the initial levels and will be set at pricing.

The coupon is expected to be 8% 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 interest period. Interest will be payable quarterly.

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

If the notes are not called, 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 index, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Nov. 24 and settle Nov. 28.

The Cusip number is 22547QW85.

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