By Marisa Wong
Madison, Wis., Aug. 24 - Credit Suisse AG, Nassau Branch priced $712,000 of high/low coupon callable yield notes due Aug. 27, 2012 linked to the United States Oil Fund, LP and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either component falls to or below 75% of its initial level.
If a knock-in event does not occur during a quarterly observation period, the coupon will be 18% for that period. If a knock-in event does occur during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 4%. Interest is payable quarterly.
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 worse performing component, up to a maximum payout of par.
The notes are callable at par on any interest payment date beginning on Nov. 25.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying funds: | United States Oil Fund, LP and the Energy Select Sector SPDR fund
|
| Amount: | $712,000
|
| Maturity: | Aug. 27, 2012
|
| Coupon: | 18% if either fund never falls to or below knock-in level during quarterly observation period; otherwise, 4% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes, par plus the return of the worse performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date beginning on Nov. 25
|
| Initial levels: | $32.72 for oil fund, $62.73 for energy fund
|
| Knock-in levels: | $24.54 for metals fund, $47.0475 for energy fund; 75% of initial levels
|
| Pricing date: | Aug. 22
|
| Settlement date: | Aug. 25
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546TDN8
|
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