New Issue: Credit Suisse prices $15.12 million autocallable knock-out notes linked to crude oil

By Toni Weeks

San Diego, Jan. 24 - Credit Suisse AG, Nassau Branch priced $15.12 million of 0% autocallable knock-out notes due July 25, 2012 linked to Brent crude oil, according to a 424B2 filing with the Securities and Exchange Commission.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.

Beginning April 20, the notes will be automatically called on any day if the closing price of Brent crude oil is greater than or equal to the call level, 95% of the initial price. The payment if called is 105.4% of par.

If the notes have not been called and the final price is greater than or equal to 80% of the initial price, the payout at maturity will be par. Investors will be fully exposed to the decline if the final price is less than 80% of the initial price.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Autocallable knock-out notes
Underlying component:	Brent crude oil
Amount:	$15,118,000
Maturity:	July 25, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If final price is at least 80% of initial price, par; otherwise, full exposure to losses
Call:	Automatically at 105.4% of par beginning April 20 if closing price is at least 95% of initial price
Initial price:	$110.23
Call level:	$104.7185
Knock-out level:	$88.184, 80% of initial level
Pricing date:	Jan. 20
Settlement date:	Jan. 25
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	0.5%
Cusip:	22546TKY6

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