By Susanna Moon
Chicago, Feb. 2 - Credit Suisse AG, Nassau Branch priced $1.66 million of high/low coupon callable yield notes due Feb. 3, 2012 based on the performance of 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 below 72.5% of its initial level.
If a knock-in event never occurs, the coupon will be 10%. If a knock-in event occurs during any quarterly observation period, the coupon for the corresponding quarterly interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning Aug. 3.
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
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index and Russell 2000 index
|
| Amount: | $1,656,000
|
| Maturity: | Feb. 3, 2012
|
| Coupon: | 10% if knock-in event never occurs; otherwise, 4% for that quarter and thereafter; payable quarterly
|
| Price: | Par
|
| 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 component, up to a maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date after six months
|
| Initial levels: | 1,286.12 for S&P, 781.25 for Russell
|
| Knock-in levels: | 932.437 for S&P, 566.4063 for Russell; 72.5% of initial levels
|
| Pricing date: | Jan. 31
|
| Settlement date: | Feb. 3
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546EP32
|
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