By Marisa Wong
Madison, Wis., Feb. 7 - Credit Suisse AG, Nassau Branch priced $3.15 million of 11% callable yield notes due Feb. 9, 2012 linked to the performance of the United States Natural Gas Fund, LP and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless either component falls to or below its knock-in level - 62.5% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worse performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | United States Natural Gas Fund, LP and Russell 2000 index
|
| Amount: | $3.15 million
|
| Maturity: | Feb. 9, 2012
|
| Coupon: | 11%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either component falls to or below its knock-in level during the life of the notes, par plus the return of the worse performing component, up to a maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | $5.85 for U.S. Natural Gas; 800.11 for Russell
|
| Knock-in levels: | $3.6563 for U.S. Natural Gas; 500.06875 for Russell; 62.5% of initial levels
|
| Pricing date: | Feb. 4
|
| Settlement date: | Feb. 11
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546EN67
|
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