By Angela McDaniels
Tacoma, Wash., Feb. 27 - Credit Suisse AG, London Branch priced $1.91 million of high/low coupon callable yield notes due Aug. 28, 2015 linked to the Russell 2000 index and the iShares China Large-Cap exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either underlying component closes at or below 70% of its initial level on any day during the life of the notes.
The coupon will be 9.5% unless a knock-in event occurs during any quarterly observation period, in which case the coupon for that interest period and each subsequent interest period will be 1%. 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, London Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 and the iShares China Large-Cap ETF
|
| Amount: | $1.91 million
|
| Maturity: | Aug. 28, 2015
|
| Coupon: | 9.5% unless knock-in event occurs during any quarterly observation period, in which case coupon for that interest period and each subsequent interest period will be 1%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worst-performing index, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Knock-in event: | Either underlying component closes at or below knock-in level on any day during life of notes
|
| Initial levels: | 1,173.95 for index and $34.67 for ETF
|
| Knock-in levels: | 821.765 for index and $24.296 for ETF, 70% of initial levels
|
| Pricing date: | Feb. 25
|
| Settlement date: | Feb. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.8%
|
| Cusip: | 22547QGZ3
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