By Toni Weeks
San Luis Obispo, Calif., April 24 - Credit Suisse AG, Nassau Branch priced $1.5 million of contingent coupon callable yield notes due Oct. 29, 2014 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon of 4% per year if each index closes above the 60% barrier level on the observation date for that quarter. Otherwise, no coupon will be paid that period.
The notes are callable at par plus the contingent coupon on any interest payment date.
The payout at maturity will be par unless either index finishes at or below the 60% knock-in level, in which case investors will receive par plus the return of the worst-performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Contingent coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1.5 million
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Maturity: | Oct. 29, 2014
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Coupon: | 4% per year if each index closes above barrier level on quarterly observation date; otherwise, no coupon will be paid that quarter
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Price: | Par
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Payout at maturity: | Par unless either index finishes at or below knock-in level, in which case par plus return of worst-performing component
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Call option: | At par plus contingent coupon on any interest payment date beginning July 29
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Initial index levels: | 1,562.5 for S&P 500, 914.8 for Russell 2000
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Barrier/knock-in levels: | 937.5 for S&P 500, 548.88 for Russell 2000; 60% of initial levels
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Pricing date: | April 22
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Settlement date: | April 29
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.92%
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Cusip: | 22546T5U1
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