By Toni Weeks
San Diego, Sept. 29 - Credit Suisse AG, Nassau Branch priced $3.85 million of high/low coupon callable yield notes due Sept. 28, 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 underlying index falls to or below 60% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 11.5%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable on any interest payment date beginning Dec. 30.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing index, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $3,845,000
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Maturity: | Sept. 28, 2012
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Coupon: | 11.5% if neither index falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
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Price: | Par
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Payout at maturity: | If knock-in event occurs, par plus the return of the worst-performing index, capped at par; otherwise, par
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Call option: | On any interest payment date beginning Dec. 30
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Initial levels: | 1,175.38 for S&P 500, 680.23 for Russell
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Knock-in levels: | 705.228 for S&P 500, 408.138 for Russell; 60% of initial levels
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Pricing date: | Sept. 27
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Settlement date: | Sept. 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TEX5
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