By Susanna Moon
Chicago, Jan. 28 - Credit Suisse AG, Nassau Branch priced $1.07 million of high/low coupon callable yield notes due Jan. 31, 2012 based on the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the index falls below 70% of its initial level.
If a knock-in event never occurs, the coupon will be 13.5%. If a knock-in event occurs during any quarterly observation period, the coupon for the corresponding quarterly interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless either fund 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.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF
|
| Amount: | $1,071,000
|
| Maturity: | Jan. 31, 2012
|
| Coupon: | 13.5% if knock-in event never occurs; otherwise, 4% for that quarter and thereafter; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes, par plus the return of the worst performing component, up to a maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | $69.68 for SPDR Metals and $55.10 for Gold Miners
|
| Knock-in levels: | $48.776 for SPDR Metals and $38.57 for Gold Miners; 70% of initial levels
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546EP73
|
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