Credit Suisse plans high/low coupon callable notes on indexes, fund

By Jennifer Chiou

New York, April 11 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due April 23, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if any underlying asset 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 12% per year.

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

The notes are callable at par beginning on July 25, 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: 22546E4U5) will price on April 18 and settle on April 21.

Credit Suisse Securities (USA) LLC is the agent.

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