New Issue: Credit Suisse sells $1.9 million 9.5% bearish callable yield notes on S&P 500, Russell 2000

By Susanna Moon

Chicago, Aug. 3 - Credit Suisse AG, Nassau Branch priced $1.9 million of 9.5% bearish callable yield notes due Aug. 4, 2011 based on the performance of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The payout at maturity will be par unless either index closes at or above 125% of its initial level during the life of the notes, in which case the payout will be par minus the return of the better performing index, up to a maximum payout of par.

The notes are callable at par on any interest payment date beginning Feb. 4, 2011.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Bearish callable yield notes
Underlying indexes:	S&P 500 index and Russell 2000
Amount:	$1.9 million
Maturity:	Aug. 4, 2011
Coupon:	9.5%, payable quarterly
Price:	Par
Payout at maturity:	If either index closes at or above 125% of its initial level during the life of the notes, par minus the return of the better performing index, capped at par; otherwise, par
Call option:	At par on any interest payment date beginning Feb. 4, 2011
Initial index levels:	1,101.60 for S&P 500 and 650.89 for Russell 2000
Knock-in levels:	1,377.000 for S&P 500 and 813.613 for Russell 2000; 125% of initial levels
Pricing date:	July 30
Settlement date:	Aug. 4
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	2546EXL3

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