By Susanna Moon
Chicago, Oct. 31 - Credit Suisse AG, Nassau Branch priced $2.05 million of high/low coupon callable yield notes due April 30, 2014 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 any underlying component ever falls to or below the 65% trigger level during the life of the notes.
The coupon will be 6.25% if a knock-in event never occurs during any quarterly observation period. Otherwise, the coupon for that period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date.
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 component, 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 coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $2.05 million
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Maturity: | April 30, 2014
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Coupon: | 6.25% 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 knock-in event occurs, par plus return of worst-performing index, capped at par; otherwise, par
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Call option: | On any interest payment date
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Initial levels: | 1,411.94 for S&P, 813.25 for Russell
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Knock-in levels: | 917.761 for S&P, 528.6125 for Russell, 65% of initial levels
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Pricing date: | Oct. 26
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Settlement date: | Oct. 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TA50
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