By Susanna Moon
Chicago, May 27 - Credit Suisse AG, Nassau Branch priced $260,000 of 0% callable Cert PLUS securities due Nov. 30, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par plus 8.9% on May 31, 2012.
A knock-in event will occur if either index closes at or below 80% of its initial level on the final valuation date.
If the worse-performing index finishes above its initial level, the payout at maturity will be par plus 1.25 times that index's gain.
Otherwise, the payout will be par if a knock-in event does not occur and par plus the return of the worse-performing index with exposure to losses if a knock-in event does occur.
Credit Suisse Securities (USA) LLC is as agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable cert PLUS securities
|
| Underlying indexes: | S&P 500 index and the Russell 2000 index
|
| Amount: | $260,000
|
| Maturity: | Nov. 30, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 125% of worse-performing index's return if that index gains; par if worse-performing index's return is negative but neither index finishes at or below its knock-in level; par plus return of worse-performing index with exposure to losses if knock-in event occurs
|
| Call option: | At par plus 8.9% on May 31, 2012
|
| Initial levels: | 1,320.47 for S&P, 820.87 for Russell
|
| Knock-in levels: | 1,056.376 for S&P, 656.696 for Russell; 80% of initial levels
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546E5G5
|
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