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Published on 8/29/2014 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $550,000 contingent coupon autocallables linked to two stocks

By Toni Weeks

San Luis Obispo, Calif., Aug. 29 – Credit Suisse AG, London Branch priced $550,000 of contingent coupon autocallable yield notes due Aug. 29, 2016 linked to the common stock of E*Trade Financial Corp. and the American Depositary Shares of AstraZeneca plc, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at the rate of 12.1% per year if each stock closes at or above its barrier price, 70% of its initial price, on the observation date for that quarter.

If the closing share price of each stock is greater than or equal to its initial share price on any quarterly observation date, the notes will be automatically redeemed at par plus the contingent coupon.

If the notes are not called and the final share price of each stock is greater than or equal to its barrier price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for each 1% that the lowest-performing stock’s final share price is less than its initial share price.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable yield notes
Underlying stocks:Common stock of E*Trade Financial Corp. (Symbol: ETFC), ADSs of AstraZeneca plc (Symbol: AZN)
Amount:$550,000
Maturity:Aug. 29, 2016
Contingent payment:12.1% per year, payable quarterly if each stock closes at or above barrier price on observation date for that quarter
Price:Par
Payout at maturity:If each stock finishes at or above its barrier price, par plus contingent coupon; otherwise full exposure to losses from initial share price
Call:Automatically at par plus contingent payment if closing share price of each stock is greater than or equal to initial price on any quarterly observation date
Initial share prices:$22.57 for E*Trade, $73.74 for AstraZeneca
Coupon barrier/knock-in price:$15.799 for E*Trade, $51.618 for AstraZeneca, 70% of initial share price
Pricing date:Aug. 26
Settlement date:Aug. 29
Agent:Credit Suisse Securities (USA) LLC
Fees:2.77%
Cusip:22547QSC1

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