By Marisa Wong
Madison, Wis., Dec. 10 - Credit Suisse AG, Nassau Branch priced $535,000 of high/low coupon callable yield notes due June 12, 2014 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 underlying component falls to or below 63% of its initial level on any day during the life of the notes.
If a knock-in event never occurs, the coupon will be 4.75%. Otherwise, the coupon for that interest period and each subsequent interest period is 1%. Interest is payable monthly.
The notes will be callable at par on any interest payment date.
If the notes are not called, 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 worse-performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index and Russell 2000 index
|
| Amount: | $535,000
|
| Maturity: | June 12, 2014
|
| Coupon: | 4.75% if neither component falls to or below knock-in level during monthly observation period; otherwise, 1% for that period and afterward; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If either component falls to or below knock-in level during life of notes, par plus return of worse-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date
|
| Initial levels: | 1,418.07 for S&P, 822.27 for Russell
|
| Knock-in levels: | 893.3841 for S&P, 518.0301 for Russell; 63% of initial levels
|
| Pricing date: | Dec. 7
|
| Settlement date: | Dec. 12
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TN98
|
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