By Jennifer Chiou
New York, Dec. 23 - Credit Suisse AG, Nassau Branch priced $2.3 million of high/low coupon callable yield notes due Dec. 27, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either underlying component closes at or below 65% of its initial level.
Interest is payable quarterly. The coupon will be 11.75% 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 underlying component, up to a maximum payout of par.
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 components: | Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $2,296,000
|
| Maturity: | Dec. 27, 2011
|
| Coupon: | 11.75% per year unless either underlying component 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 underlying component closes at or below its knock-in level during life of the notes, par plus return of lower-performing underlying, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 790.52 for index and $60.55 for ETF
|
| Knock-in levels: | 513.838 for index and $39.3575 for ETF; 65% of initial levels
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 27
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22546EM50
|
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