By Toni Weeks
San Luis Obispo, Calif., May 22 - Credit Suisse AG, Nassau Branch priced $1.5 million of contingent coupon callable yield notes due May 28, 2015 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 will pay a quarterly coupon of 4.5% per year if each index closes above its barrier level, 60% of the initial level, on the observation date for that period. Otherwise, no coupon will be paid that period.
The notes will be callable at par plus the contingent coupon, if any, on any interest payment date.
The payout at maturity will be par unless either index finishes at or below its knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index from its initial level. The knock-in level is 60% of the initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1.5 million
|
| Maturity: | May 28, 2015
|
| Coupon: | 4.5% per year if each index closes above barrier level on quarterly observation date; otherwise, no coupon will be paid that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes at or below knock-in level, in which case par plus return of worst-performing index
|
| Call option: | At par plus contingent coupon on any interest payment date beginning Aug. 28
|
| Initial index levels: | 1,666.29 for S&P 500, 997.98 for Russell 2000
|
| Barrier/knock-in levels: | 999.97 for S&P 500, 598.79 for Russell 2000; 60% of initial levels
|
| Pricing date: | May 20
|
| Settlement date: | May 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.12%
|
| Cusip: | 22547Q3F1
|
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