By Susanna Moon
Chicago, June 2 - Credit Suisse AG, Nassau Branch priced $238,000 of high/low coupon callable yield notes due June 4, 2012 linked to the SPDR S&P Metals and Mining exchange-traded fund and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any component falls to or below 75% of its initial level during the life of the notes.
If a knock-in event does not occur during a quarterly observation period, the coupon will be 17% for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
The payout at maturity will be par unless either component 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.
The notes are callable at par on any interest payment date after six months.
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 ETF, Market Vectors Gold Miners ETF
|
| Amount: | $238,000
|
| Maturity: | June 4, 2012
|
| Coupon: | 17% if either fund never falls to or below knock-in level during quarterly observation period; otherwise, 4% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date beginning Dec. 5, 2011
|
| Initial levels: | $71.82 for metals fund, $58.15 for gold fund
|
| Knock-in levels: | $53.865 for metals fund, $43.6125 for gold fund; 75% of initial levels
|
| Pricing date: | May 31
|
| Settlement date: | June 3
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546E5W0
|
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