By Marisa Wong
Madison, Wis., May 1 – Credit Suisse AG, London Branch priced $1.55 million of contingent coupon callable yield notes due April 28, 2017 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 10% annualized if each fund closes at or above its barrier level, 60% of the initial level, on any quarterly observation date.
The notes will be callable at par plus the contingent coupon on any interest payment date beginning Oct. 30.
The payout at maturity will be par unless any fund finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worst-performing component.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying ETFs: | United States Oil Fund, LP and Market Vectors Gold Miners ETF
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| Amount: | $1.55 million
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| Maturity: | April 28, 2017
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| Coupon: | 10%, payable quarterly if each fund closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If either fund falls below knock-in level, par plus return, with full exposure to losses of worse performing fund; otherwise, par
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| Call option: | At par plus coupon on any interest payment date beginning Oct. 30
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| Initial prices: | $19.52 for oil fund, $19.77 for gold fund
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| Barrier/knock-in levels: | $11.712 for oil fund, $11.862 for gold fund; 60% of initial prices
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| Pricing date: | April 27
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| Settlement date: | April 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.55%
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| Cusip: | 22546VC87
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