By Toni Weeks
San Diego, May 9 - Credit Suisse AG, Nassau Branch priced $2 million of contingent coupon callable yield notes due Nov. 15, 2013 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-in event occurs if either index closes at or below the knock-in level, 65% of its initial level, on the Nov. 8, 2013 final valuation date.
The notes pay a coupon of 10% per year unless a knock-in event occurs during a quarterly interest period, in which case no interest will be paid for that quarter.
The payout at maturity will be par unless a knock-in event occurs, in which case investors will receive par plus the return of the worst-performing index.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2 million
|
| Maturity: | Nov. 15, 2013
|
| Coupon: | 10% per year unless a knock-in event occurs during a quarterly interest period, in which case no interest will be paid for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless a knock-in occurs, in which case par plus the return of the worst-performing index
|
| Call option: | At par on any interest payment date beginning Aug. 15
|
| Knock-in event: | If either index closes at or below its knock-in level on Nov. 8, 2013
|
| Initial index levels: | 1,363.72 for S&P 500 and 793.06 for Russell 2000
|
| Knock-in levels: | 886.42 for S&P 500 and 515.49 for Russell 2000; 65%, of initial levels
|
| Pricing date: | May 8
|
| Settlement date: | May 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.44%
|
| Cusip: | 22546TTQ4
|
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