New Issue: Credit Suisse prices $530,000 11.25% callable yield notes on Russell 2000, U.S. gas ETF

By Jennifer Chiou

New York, March 22 - Credit Suisse AG, Nassau Branch priced $530,000 of 11.25% callable yield notes due March 23, 2012 linked to the United States Natural Gas Fund, LP and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The payout at maturity will be par unless either component falls to or below its knock-in level - 65% of its initial 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 are callable on the following interest payment dates: June 23, Sept. 23 and Dec. 23, 2011.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Callable yield notes
Underlying components:	United States Natural Gas Fund, LP and Russell 2000 index
Amount:	$530,000
Maturity:	March 23, 2012
Coupon:	11.25%, payable monthly
Price:	Par
Payout at maturity:	If either component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, up to a maximum payment of par; otherwise, par
Call option:	At par on June 23, Sept. 23 or Dec. 23, 2011
Initial levels:	$11.11 for gas fund; 794.66 for Russell
Knock-in levels:	$7.2215 for gas fund; 516.529 for Russell; 65% of initial levels
Pricing date:	March 18
Settlement date:	March 23
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.25%
Cusip:	22546E2Q6

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