Credit Suisse plans high/low coupon callable notes on S&P 500, Russell

By Toni Weeks

San Diego, Oct. 1 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Feb. 5, 2014 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 occurs if either underlying component falls to or below 65% of its initial level during a quarterly observation period.

If a knock-in event never occurs, the coupon will be 7.5% to 8.5%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable quarterly. The exact coupon will be set at pricing.

The notes are callable on any interest payment date beginning May 6, 2013.

If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.

The notes (Cusip: 22546TZW4) are expected to price Oct. 31 and settle Nov. 5.

Credit Suisse Securities (USA) LLC is the agent.

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