By Toni Weeks
San Diego, March 30 - Credit Suisse AG, Nassau Branch priced $601,000 of high/low coupon callable yield notes due March 30, 2012 linked to the SPDR S&P Metals and Mining exchange-traded fund 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 fund falls to or below 75% of its initial level during the life of the notes.
If a knock-in event does not occur, the coupon will be 13.5%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning June 30, 2011.
The payout at maturity will be par unless either fund falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-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: | SPDR S&P Metals and Mining exchange-traded fund, Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $601,000
|
| Maturity date: | March 30, 2012
|
| Coupon: | 13.5% if neither fund falls to or below 75% of its initial level during a quarterly observation period; otherwise, 4% for that period and thereafter; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either fund falls to or below its knock-in level during life of notes, in which case par plus return of worst-performing component, capped at par
|
| Initial levels: | 72.13 for SPDR S&P Metals and Mining, 58.51 for Market Vectors Gold Miners
|
| Knock-in levels: | 54.0975 for Metals and Mining, 43.8825 for Gold Miners
|
| Call option: | At par on any interest payment date beginning June 30, 2011
|
| Pricing date: | March 28
|
| Settlement date: | March 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546EZ31
|
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