By Marisa Wong
Madison, Wis., Feb. 1 - Credit Suisse AG, Nassau Branch priced $1.29 million of high/low coupon callable yield notes due Feb. 2, 2012 linked to the SPDR S&P Metals and Mining exchange-traded fund and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either underlying component closes at or below 70% of its initial level.
Interest is payable quarterly. The coupon will be 13% per year unless a knock-in event occurs, in which case the coupon will be 4% 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 component, up to a maximum payout of par.
The notes are callable at par on any interest payment date beginning on Aug. 2, 2011.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying ETFs: | SPDR S&P Metals and Mining, iShares MSCI Brazil
|
| Amount: | $1,292,000
|
| Maturity: | Feb. 2, 2012
|
| Coupon: | 13% per year unless either underlying component closes at or below its knock-in level, in which case coupon will be 4% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either underlying component closes at or below its knock-in level during life of the notes, par plus return of lower-performing underlying, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date beginning on Aug. 2, 2011
|
| Initial prices: | $67.61 for SPDR S&P Metals and Mining and $72.55 for iShares MSCI Brazil
|
| Knock-in levels: | $47.327 for SPDR S&P Metals and Mining and $50.785 for iShares MSCI Brazil; 70% of initial levels
|
| Pricing date: | Jan. 28
|
| Settlement date: | Feb. 2
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546ER48
|
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