Credit Suisse plans high/low coupon callable yield notes on indexes

By Jennifer Chiou

New York, July 2 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 4, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if any component closes at or below 60% of its initial level during a monthly observation period.

The coupon will be between 10% and 11% per year unless a knock-in event occurs, in which case the coupon will be 1% for that and each subsequent interest period. The exact rates will be set at pricing. Interest will be payable monthly.

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 index, up to a maximum payout of par.

The notes will be callable at par on any interest payment date beginning on Nov. 5, 2012.

The notes (Cusip: 22546TVW8) will price on July 31 and settle on Aug. 3.

Credit Suisse Securities (USA) LLC is the underwriter.

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