By Marisa Wong
Madison, Wis., April 19 - Credit Suisse AG, Nassau Branch priced $1.73 million of high/low coupon callable yield notes due April 20, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Natural Gas Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the index or either fund falls to or below 70% of its initial level during the life of the notes.
If a knock-in event does not occur, the coupon is 21%.
If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is 3%. Interest is payable monthly.
The notes are callable at par on Oct. 20, 2011 or Jan. 20, 2012.
The payout at maturity will be par unless any underlying 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 lowest-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: | Russell 2000 index, Market Vectors Gold Miners ETF, United States Natural Gas Fund, LP
|
| Amount: | $1,732,000
|
| Maturity: | April 20, 2012
|
| Coupon: | 21% per year unless the index or either fund closes at or below its knock-in level, in which case coupon will be 3% from then on; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If index or either fund closes at or below its knock-in level during life of notes, par plus return of lowest-performing component, up to maximum payout of par; otherwise, par
|
| Call option: | At par on Oct. 20, 2011 or Jan. 20, 2012
|
| Initial levels: | 834.98 for Russell; $61.51 for Gold Miners; $11.02 for Natural Gas
|
| Knock-in levels: | 584.486 for Russell; $43.057 for Gold Miners; $7.714 for Natural Gas; 70% of initial levels
|
| Pricing date: | April 15
|
| Settlement date: | April 20
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546E4T8
|
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