By Marisa Wong
Madison, Wis., Aug. 30 - Credit Suisse AG, Nassau Branch priced $1.65 million of high/low coupon callable yield notes due Aug. 31, 2011 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either underlying closes at or below 70% of its initial level during any quarterly observation period.
Interest is payable quarterly. The coupon will be 16.5% per year unless a knock-in event occurs, in which case the coupon will be 5% per year for that and each subsequent quarter.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lower-performing underlying, up to a maximum payout of par.
The notes are callable at par on any interest payment date beginning Feb. 28, 2011.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index and Market Vectors Gold Miners ETF
|
| Amount: | $1,646,000
|
| Maturity: | Aug. 31, 2011
|
| Coupon: | 16.5% per year unless either underlying closes at or below 70% of its initial level, in which case coupon will be 5% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either underlying ever closes at or below 70% of its initial level, par plus return of lower-performing underlying, up to maximum payout of par; otherwise, par
|
| Call option: | At par on interest payment dates from Feb. 28, 2011 onward
|
| Initial levels: | 1,047.22 for index; $52.77 for ETF
|
| Knock-in levels: | 733.054 for index; $36.939 for ETF, 70% of initial levels
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546EXV1
|
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