By Angela McDaniels
Tacoma, Wash., Jan. 20 - Credit Suisse AG, Nassau Branch priced $3.81 million of high/low coupon callable yield notes due Jan. 20, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if any of the underlying components closes at or below 65% of its initial level.
Interest is payable quarterly. The coupon will be 16% per year unless a knock-in event occurs, in which case the coupon will be 4% per year for that and each subsequent quarter.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worst-performing underlying component, subject to a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, Market Vectors Gold Miners ETF and United States Oil Fund, LP
|
| Amount: | $3.81 million
|
| Maturity: | Jan. 20, 2012
|
| Coupon: | 16% per year unless an underlying component closes at or below its knock-in level, in which case coupon will be 4% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any underlying component closes at or below its knock-in level during life of notes, par plus return of worst-performing underlying component, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 807.56 for index, $55.79 for gold ETF and $38.73 for oil ETF
|
| Knock-in levels: | 524.914 for index, $36.2635 for gold ETF and $25.1745 for oil ETF; 65% of initial levels
|
| Pricing date: | Jan. 18
|
| Settlement date: | Jan. 21
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546ER22
|
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