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

By Marisa Wong

Madison, Wis., March 5 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Sept. 15, 2014 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event occurs if either fund falls to or below 60% of its initial level on any day during the life of the notes.

If a knock-in event never occurs, the coupon is expected to be between 10.25% and 12.25%, with the exact rate to be determined at pricing.

If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is 1%. Interest is 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 occurs, in which case investors will receive par plus the return of the worse-performing fund, up to a maximum payout of par.

The notes (Cusip: 22546T3C3) are expected to price on March 8 and settle on March 13.

Credit Suisse Securities (USA) LLC is the agent.

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