By Marisa Wong
Madison, Wis., Nov. 16 - Credit Suisse AG, Nassau Branch priced $3.08 million of high/low coupon callable yield notes due Nov. 19, 2012 linked to the S&P 500 index, the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index or the fund falls to or below 60% of its initial level on any day 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 18.25% 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 1%. Interest is payable quarterly.
The payout at maturity will be par unless any 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 worst-performing component, up to a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Underlying fund: | United States Oil Fund, LP
|
| Amount: | $3.08 million
|
| Maturity: | Nov. 19, 2012
|
| Coupon: | 18.25% if no component falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index or fund falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 1,251.78 for S&P, 732.89 for Russell, $37.86 for U.S. Oil
|
| Knock-in levels: | 751.068 for S&P, 439.734 for Russell, $22.716 for U.S. Oil; 60% of initial levels
|
| Pricing date: | Nov. 14
|
| Settlement date: | Nov. 17
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TGY1
|
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