By Susanna Moon
Chicago, Aug. 3 - Credit Suisse AG, Nassau Branch priced $1.75 million of 6% callable yield notes due Aug. 4, 2011 based on the performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
A trigger event occurs if the index falls to or below 56% of its initial level on any trading day during the life of the notes.
If a trigger event occurs, the payout at maturity will be par plus the index return, up to a maximum payout of par.
If a trigger event does not occur, investors will receive par.
The notes are callable on any interest payment date beginning Feb. 4, 2011.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Bearish callable yield notes
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Underlying index: | S&P 500 index
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Amount: | $1,746,000
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Maturity: | Aug. 4, 2011
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Coupon: | 6%, payable quarterly
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Price: | Par
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Call: | On any interest payment date after six months
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Payout at maturity: | If either index falls by more than 44% during the life of the notes, par index return, capped at par; otherwise, par
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Initial index level: | 1,101.60 for S&P 500
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Knock-in level: | 616.896 for S&P 500, or 56% of initial levels
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Pricing date: | July 30
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Settlement date: | Aug. 4
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546EWP5
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