By Toni Weeks
San Diego, Sept. 20 - Credit Suisse AG, Nassau Branch priced $6.43 million of high/low coupon callable yield notes due Sept. 21, 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 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 11.25%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning Dec. 21.
The payout at maturity will be par unless either index 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 worst-performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low callable yield notes
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $6,427,000
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Maturity: | Sept. 21, 2012
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Coupon: | 11.25% 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 either index falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing index, capped at par; otherwise, par
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Call option: | At par on any interest payment date beginning Dec. 21
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Initial levels: | 1,216.01 for S&P 500, 714.31 for Russell
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Knock-in levels: | 729.606 for S&P 500, 428.586 for Russell; 60% of initial levels
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Pricing date: | Sept. 16
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Settlement date: | Sept. 21
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TEQ0
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