By Susanna Moon
Chicago, May 19 - Credit Suisse AG, Nassau Branch priced $4.24 million of high/low coupon callable yield notes due Feb. 21, 2012 linked to the Russell 2000 index, iShares MSCI Emerging Markets index fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the index or either fund falls to or below 65% of its initial level during the life of the notes.
If a knock-in event does not occur, the coupon is 11.25%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period is 3%.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless any underlying 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 lowest-performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying components: | Russell 2000 index, iShares MSCI Emerging Markets index fund and the United States Oil Fund, LP
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Amount: | $4,243,000
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Maturity: | Feb. 21, 2012
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Coupon: | 11.25% unless index or either fund closes at or below its knock-in level, in which case 3% from then on; payable quarterly
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Price: | Par
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Payout at maturity: | If the index or either fund closes at or below its knock-in level during life of notes, par plus return of worst-performing component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 820.36 for Russell; $47.00 for MSCI EM; $38.56 for US Oil
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Knock-in levels: | 533.234 for Russell; $30.55 for MSCI EM; $25.064 for US Oil; 65% of initial levels
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Pricing date: | May 17
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Settlement date: | May 20
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546E6Z2
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