Credit Suisse plans high/low coupon callable yield notes linked to Russell 2000, Market Vectors Gold

By Angela McDaniels

Tacoma, Wash., Sep. 29 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Oct. 31, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event will occur if either underlying component closes at or below 70% of its initial level.

Interest will be payable quarterly. The coupon is expected to be 17.5% per year unless a knock-in event occurs, in which case the coupon is expected to be 6% for that and each subsequent quarter. The exact coupons 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 lower-performing underlying component, up to a maximum payout of par.

The notes will be callable at par on any interest payment date.

The notes (Cusip 22546EA38) are expected to price Oct. 26 and settle Oct. 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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