By Angela McDaniels
Tacoma, Wash., Dec. 2 - Credit Suisse AG, Nassau Branch priced $603,000 of high/low coupon callable yield notes due Dec. 5, 2011 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 will occur if either index closes at or below 70% of its initial level.
Interest is payable quarterly. The coupon will be 11.25% per year unless a knock-in event occurs, in which case the coupon will be 4% per year for that and each subsequent quarter.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lower-performing index, subject to a maximum payout of par.
Beginning June 6, 2011, the notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $603,000
|
| Maturity: | Dec. 5, 2011
|
| Coupon: | 11.25% per year unless either index closes at or below its knock-in level, in which case coupon will be 4% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index closes at or below its knock-in level during life of notes, par plus return of lower-performing index, up to maximum payout of par; otherwise, par
|
| Call option: | At par on interest payment dates from June 6, 2011 onward
|
| Initial levels: | 1,180.55 for S&P 500 and 727.01 for Russell 2000
|
| Knock-in levels: | 826.385 for S&P 500 and 508.907 for Russell 2000; 70% of initial levels
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 3
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546EF33
|
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