By Angela McDaniels
Tacoma, Wash., March 22 - Credit Suisse AG, Nassau Branch priced $4.16 million of high/low coupon callable yield notes due March 26, 2013 linked to the Russell 2000 index, 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.
A knock-in event occurs if any underlying component closes at 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 12.1% per year for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1% per year. Interest is payable quarterly.
The payout at maturity will be par unless a knock-in event occurs, 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 components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $4,158,000
|
| Maturity: | March 26, 2013
|
| Coupon: | 12.1% if all of the underlying components remain above their knock-in levels during the quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any component 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: | 829.92 for Russell 2000, $40.66 for oil fund and $49.76 for gold ETF
|
| Knock-in levels: | 497.952 for Russell 2000, $24.396 for oil fund and $29.856 for gold ETF; 60% of initial levels
|
| Pricing date: | March 21
|
| Settlement date: | March 26
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TNH0
|
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