Try this (from http://blog.hoegaerden.be/2009/09/14/adding-an-else-to-your-switch/):

=Switch(

Fields!CategoryCode.Value = "DEPOSIT" And Fields!WithdrawalType.Value = "S" , "Deposit Amount",

Fields!CategoryCode.Value = "LOAN", "Loan Amount",

Fields!CategoryCode.Value <> "LOAN" AND Fields!CategoryCode.Value <> "DEP", "Closing Balance",

True, "Closing Balance"

)

Your third expression (Fields!CategoryCode.Value <> "LOAN" AND Fields!CategoryCode.Value <> "DEP") seems to be superfluous because the same thing is returned by the "else" expression. The statement can be rewritten to:

=Switch(

Fields!CategoryCode.Value = "DEPOSIT" And Fields!WithdrawalType.Value = "S" , "Deposit Amount",

Fields!CategoryCode.Value = "LOAN", "Loan Amount",

True, "Closing Balance"

)