Credit Suisse to price high/low coupon callable yield notes on S&P, Russell, iShares MSCI Brazil

By Jennifer Chiou

New York, May 10 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due May 29, 2012 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if any underlying component closes at or below 72.5% of its initial level.

Interest is payable quarterly. The coupon will be 11.6% per year unless a knock-in event occurs, in which case the coupon will be 3% per year for that and each subsequent quarter.

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 lowest-performing component, subject to a maximum payout of par.

The notes (Cusip: 22546E6V1) are callable at par on any interest payment date beginning on Nov. 29 and are expected to price on May 24, with settlement on May 27.

Credit Suisse Securities (USA) LLC is the underwriter.

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