By Jennifer Chiou
New York, Dec. 29 - Credit Suisse AG, Nassau Branch priced $803,000 of high/low coupon callable yield notes due Dec. 31, 2012 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 55% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 9%. 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
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $803,000
|
| Maturity: | Dec. 31, 2012
|
| Coupon: | 9% if neither index falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus the return of the worst-performing index, capped at par; otherwise, par
|
| Call option: | On any interest payment date
|
| Initial levels: | 1,265.43 for S&P 500, 751.31 for Russell
|
| Knock-in levels: | 695.9865 for S&P 500, 413.2205 for Russell; 55% of initial levels
|
| Pricing date: | Dec. 27
|
| Settlement date: | Dec. 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TJU6
|
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