Credit Suisse plans high/low coupon callable notes on index, funds

By Toni Weeks

San Luis Obispo, Calif., May 29 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Jan. 5, 2015 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if any underlying component closes at or below its knock-in level, 55% of its initial level, during the life of the notes.

Interest is payable quarterly. The coupon is expected to be 12% 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 coupon 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 lowest-performing underlying component, subject to a maximum payout of par.

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

Credit Suisse Securities (USA) LLC is the underwriter.

The notes (Cusip: 22547Q3K0) are expected to price June 28 and settle July 3.

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