By Susanna Moon
Chicago, May 23 - Credit Suisse AG, Nassau Branch priced $818,000 of high/low coupon callable yield notes due May 24, 2012 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index or the fund falls to or below 70% of its initial level during the life of the notes.
If a knock-in event does not occur, the coupon is 10%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period is 3%.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless any underlying 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 lowest-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: | S&P 500 index, Russell 2000 index, iShares MSCI Brazil index fund
|
| Amount: | $818,000
|
| Maturity: | May 24, 2012
|
| Coupon: | 10% unless either index or the fund closes at or below its knock-in level, in which case coupon will be 3% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index or the fund closes at or below its knock-in level during life of notes, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 1,343.60 for S&P; 835.16 for Russell; $71.96 for Gold Miners
|
| Knock-in levels: | 940.52 for S&P; 584.612 for Russell; $50.372 for Gold Miners; 70% of initial levels
|
| Pricing date: | May 19
|
| Settlement date: | May 24
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546E6W9
|
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