By Jennifer Chiou
New York, March 27 - Credit Suisse AG, Nassau Branch priced $1,074,000 of high/low coupon callable yield notes due Sept. 29, 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 will occur if any underlying component closes at or below its knock-in level, 65% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 7.5% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lowest-performing underlying component, subject to a maximum payout of par.
The notes are callable at par on any interest payment date beginning on June 28.
Credit Suisse Securities (USA) LLC is the underwriter.
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 and United States Oil Fund, LP
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Amount: | $1,074,000
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Maturity: | Sept. 29, 2014
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Coupon: | 7.5% per year unless any underlying component closes at or below its knock-in level during the life of the notes, in which case coupon will be 1% from then on; payable quarterly
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Price: | Par
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Payout at maturity: | If any underlying component closes at or below its knock-in level during life of notes, par plus return of lowest-performing underlying component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date beginning on June 28
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Initial levels: | 945.85 for Russell, $33.85 for oil fund
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Knock-in levels: | 614.8025 for Russell, $22.0025 for oil fund; 65% of initial levels
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Pricing date: | March 25
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Settlement date: | March 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2%
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Cusip: | 22546T2N0
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