By Toni Weeks
San Diego, March 26 - Credit Suisse AG, Nassau Branch priced $5.28 million of high/low coupon callable yield notes due March 27, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either underlying index falls to or below 60% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 10%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable on any interest payment date.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing index, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $5,276,000
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Maturity: | March 27, 2013
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Coupon: | 10% if neither index falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
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Price: | Par
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Payout at maturity: | If knock-in event occurs, par plus the return of the worst-performing index, capped at par; otherwise, par
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Call option: | On any interest payment date beginning June 27
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Initial levels: | 1,392.78 for S&P 500, 821.44 for Russell
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Knock-in levels: | 835.668 for S&P 500, 492.864 for Russell; 60% of initial levels
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Pricing date: | March 22
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Settlement date: | March 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.5%
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Cusip: | 22546TNG2
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