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

By Jennifer Chiou

New York, May 11 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Feb. 21, 2012 linked to the Russell 2000 index, the iShares MSCI Emerging Markets index fund and the United States Natural Gas Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if the index or either fund falls to or below 65% of its initial level during any observation period.

If a knock-in event does not occur, the coupon is expected to be 11.25%.

If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent monthly interest period is expected to be 3%. Interest is payable quarterly.

The notes are callable at par on any interest payment date beginning on Aug. 22, 2011.

The payout at maturity will be par unless any underlying component falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.

The notes (Cusip: 22546E6Z2) will price on May 17 and settle on May 20.

Credit Suisse Securities (USA) LLC is the agent.

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