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

By Susanna Moon

Chicago, April 8 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due April 20, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded 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 70% of its initial level during the life of the notes.

If a knock-in event does not occur, the coupon is expected to be 19%.

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

The notes are callable at par on Oct. 20, 2011 or Jan. 20, 2012.

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.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on April 15 and settle on April 20.

The Cusip is 22546E4T8.

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