Credit Suisse plans high/low callable notes tied to fund, two indexes

By Toni Weeks

San Diego, Oct. 9 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due April 17, 2014 linked to the S&P 500 index, the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if any underlying component falls to or below 60% of its initial level during the life of the notes.

If a knock-in event never occurs, the coupon is expected to be 9% to 11%, with the exact coupon set at pricing.

If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable monthly.

The notes are callable at par on any interest payment date beginning March 18, 2013.

The payout at maturity will be par unless any component 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 component, up to a maximum payout of par.

The notes (Cusip: 22546TC74) are expected to price Oct. 12 and settle Oct. 17.

Credit Suisse Securities (USA) LLC is the agent.

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