By Angela McDaniels
Tacoma, Wash., May 2 - Credit Suisse AG, Nassau Branch priced $1 million of bearish high/low coupon callable yield notes due May 3, 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 will occur if either underlying index closes at or above 122.5% of its initial level.
Interest is payable quarterly. The coupon is 10.35% per year unless a knock-in event occurs, in which case the coupon will be 3% per year for that and each subsequent interest period.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par minus the return of the better-performing underlying index, subject 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: | Bearish high/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1 million
|
| Maturity: | May 3, 2012
|
| Coupon: | 10.35% unless either underlying index closes at or above knock-in level, in which case 3% for that and each subsequent interest period; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either underlying index closes at or above knock-in level during life of notes, par minus return of better-performing index, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial index levels: | 1,360.48 for S&P 500 and 861.55 for Russell 2000
|
| Knock-in levels: | 1,666.588 for S&P 500 and 1,055.399 for Russell 2000; 122.5% of initial levels
|
| Pricing date: | April 28
|
| Settlement date: | May 3
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546E5M2
|
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