By Susanna Moon
Chicago, Sept. 2 - Credit Suisse AG, Nassau Branch priced $4.26 million of high/low coupon callable yield notes due Sept. 6, 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 occurs if either index falls to or below 60% of its initial level during the life of the notes.
If a knock-in event does not occur during a quarterly observation period, the coupon will be 14% annualized for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 3%. Interest is payable quarterly.
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.
The notes are callable at par on any interest payment date after six months.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $4,262,000
|
| Maturity: | Sept. 6, 2012
|
| Coupon: | 14% if either index never falls to or below knock-in level during quarterly observation period; otherwise, 3% beginning that period; 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, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date beginning on March 6, 2012
|
| Initial levels: | 1,218.89 for S&P; 726.81 for Russell
|
| Knock-in levels: | 731.334 for S&P, 436.086 for Russell; 60% of initial levels
|
| Pricing date: | Aug. 31
|
| Settlement date: | Sept. 6
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TDS7
|
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