By Toni Weeks
San Diego, Aug. 30 - Credit Suisse AG, Nassau Branch priced $141,000 of high/low coupon callable yield notes due Aug. 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either component falls to or below 70% of its initial level 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 12.75% for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
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 fund, up to a maximum payout of par.
The notes are callable at par on any interest payment date beginning Nov. 30, 2011.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying funds: | SPDR S&P Metals & Mining exchange-traded fund and Market Vectors Gold Miners ETF
|
| Amount: | $141,000
|
| Maturity: | Aug. 31, 2012
|
| Coupon: | 12.75% if either fund never falls to or below knock-in level during quarterly observation period; otherwise, 4% for that period and afterward; 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 fund, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date beginning Nov. 30, 2011
|
| Initial levels: | $55.75 for SPDR, $62.48 for Gold Miners
|
| Knock-in levels: | $39.025 for SPDR, $43.736 for Gold Miners; 70% of initial levels
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TCM1
|
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