By Marisa Wong
Madison, Wis., March 9 - Credit Suisse AG, Nassau Branch priced $1.52 million of high/low coupon callable yield notes due March 12, 2013 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 65% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 9.5%. 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.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worse-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
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1.52 million
|
| Maturity: | March 12, 2013
|
| Coupon: | 9.5% if neither index falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worse-performing index, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning on June 12
|
| Initial levels: | 1,362.63 for S&P 500, 795.95 for Russell
|
| Knock-in levels: | 885.7095 for S&P 500, 517.3675 for Russell; 65% of initial levels
|
| Pricing date: | March 7
|
| Settlement date: | March 12
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TNF4
|
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