By Susanna Moon
Chicago, Dec. 2 - Credit Suisse AG, Nassau Branch priced $100,000 of high/low coupon callable yield notes due Dec. 5, 2012 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-in event occurs if either component falls to or below 65% of its initial level on any day during the life of the notes.
If a knock-in event does not occur during a quarterly observation period, the coupon will be an annualized 14% for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent interest period will be 3%. 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.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $100,000
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Maturity: | Dec. 5, 2012
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Coupon: | 14% if either index never falls to or below knock-in level during quarterly observation period; otherwise, 3% for that period and afterward; payable quarterly
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Price: | Par
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Payout at maturity: | If either index 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
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Call option: | At par on any interest payment date
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Initial levels: | 1,246.96 for S&P, 737.42 for Russell
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Knock-in levels: | 810.524 for S&P, 479.323 for Russell; 65% of initial levels
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Pricing date: | Nov. 30
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Settlement date: | Dec. 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546THJ3
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