By Toni Weeks
San Diego, Oct. 19 - Credit Suisse AG, Nassau Branch priced $969,000 of high/low coupon autocallable yield notes due April 22, 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 60% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon is 9%.
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 automatically callable at par on any interest payment date if the closing level of each underlying component is equal to or greater than its initial level.
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 autocallable yield notes
|
| Underlying components: | Russell 2000 index and United States Oil Fund, LP
|
| Amount: | $969,000
|
| Maturity: | April 22, 2014
|
| Coupon: | 9% 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: | On any interest payment date beginning Jan. 16, 2013 if the closing level of each underlying component is equal to or greater than its initial level
|
| Initial levels: | 842.52 for Russell, $34.10 for oil fund
|
| Knock-in levels: | 505.512 for Russell, $20.46 for oil fund; 60% of initial levels
|
| Pricing date: | Oct. 17
|
| Settlement date: | Oct. 22
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TC41
|
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