By Toni Weeks
San Luis Obispo, Calif., Feb. 7 - Credit Suisse AG, Nassau Branch priced $1.15 million of high/low coupon callable yield notes due Aug. 8, 2014 linked to the Russell 2000 index, 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 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 monthly. The coupon will be 16% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent month.
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.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1.15 million
|
| Maturity: | Aug. 8, 2014
|
| Coupon: | 16% 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 monthly
|
| Price: | Par
|
| 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
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 908.22 for Russell, $35.03 for oil fund and $42.26 for gold fund
|
| Knock-in levels: | 590.343 for Russell, $22.7695 for oil fund and $27.469 for gold fund; 65% of initial levels
|
| Pricing date: | Feb. 5
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| Settlement date: | Feb. 8
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22546TU82
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