Credit Suisse plans high/low coupon callable yield notes linked to Russell 2000 index, two funds

By Jennifer Chiou

New York, Sept. 21 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due April 5, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to an FWP with the Securities and Exchange Commission.

A knock-in event occurs if the index or either fund falls to or below 65% of its initial level during the life of the notes.

If a knock-in event does not occur, the coupon is expected to be 16% to 18%.

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

The notes are callable at par on any interest payment date beginning on Nov. 7, 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 lowest-performing component, up to a maximum payout of par.

The notes (Cusip: 22546TFB2) are expected to price on Sept. 30 and settle on Oct. 5.

Credit Suisse Securities (USA) LLC is the agent.

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