By Toni Weeks
San Diego, Nov. 28 - Credit Suisse AG, Nassau Branch priced $463,000 of high/low coupon callable yield notes due Feb. 28, 2014 linked to 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 underlying component falls to or below 55% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon is 7.5%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is 1%. Interest is payable quarterly.
The notes will be callable at par on any interest payment date.
If the notes are not called, the payout at maturity will be par unless either 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.
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 and United States Oil Fund, LP
|
| Amount: | $463,000
|
| Maturity: | Feb. 28, 2014
|
| Coupon: | 7.5% if neither 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 knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning Feb. 28, 2013
|
| Initial levels: | 809.02 for Russell, $32.19 for oil fund
|
| Knock-in levels: | 444.961 for Russell, $17.7045 for oil fund; 55% of initial levels
|
| Pricing date: | Nov. 26
|
| Settlement date: | Nov. 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.25%
|
| Cusip: | 22546TK26
|
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