By Susanna Moon
Chicago, Dec. 31 - Credit Suisse AG, London Branch priced $493,000 of high/low coupon callable yield notes due July 2, 2015 linked to 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 either underlying fund closes at or below 55% of its initial level on any day during the life of the notes.
If a knock-in event never occurs, the coupon will be 12.5%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date.
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 fund, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying funds: | United States Oil Fund, LP and the Market Vectors Gold Miners ETF
|
| Amount: | $493,000
|
| Maturity: | July 2, 2015
|
| Coupon: | 12.5% if neither fund 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 fund, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | $35.84 for oil fund, $21.25 for gold fund
|
| Knock-in levels: | $19.712 for oil fund, $11.6875 for gold fund; 55% of initial levels
|
| Pricing date: | Dec. 27
|
| Settlement date: | Jan. 2
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.55%
|
| Cusip: | 22547QDU7
|
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