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

By Jennifer Chiou

New York, Oct. 29 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Nov. 29, 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 between 14.75% and 16.75% per year unless a knock-in event occurs, in which case the coupon is expected to be 5% 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: 22546EF66) are expected to price on Nov. 22 and settle on Nov. 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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