Credit Suisse to price high/low coupon callable yield notes tied to S&P, Russell, Gold Miners

By Marisa Wong

Madison, Wis., March 3 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due March 19, 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 will occur if any underlying component closes at or below 70% of its initial level.

Interest will be payable quarterly. The coupon will be 11.5% 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 index, up to a maximum payout of par.

Beginning June 20, 2011, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22546E2H6) are expected to price on March 15 and settle on March 18.

Credit Suisse Securities (USA) LLC is the underwriter.

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