Credit Suisse plans high/low coupon callable yield notes on SPDR S&P Metals, iShares Brazil ETFs

By Marisa Wong

Madison, Wis., Jan. 12 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Feb. 2, 2012 linked to the SPDR S&P Metals and Mining exchange-traded fund and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying component closes at or below 70% of its initial level.

Interest will be payable quarterly. The coupon is expected to be 13% per year unless a knock-in event occurs, in which case the coupon is expected to be 4% per year for that and each subsequent interest period. The exact coupons will be set at pricing.

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 lower-performing underlying component, up to a maximum payout of par.

The notes will be callable at par on any interest payment date beginning Aug. 2, 2011.

The notes (Cusip: 22546ER48) are expected to price on Jan. 28 and settle on Feb. 2.

Credit Suisse Securities (USA) LLC is the underwriter.

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