By Susanna Moon
Chicago, Oct. 16 – Credit Suisse AG priced $10.62 million of trigger phoenix autocallable optimization securities due Oct. 17, 2024 linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.25% if each index closes at or above its coupon barrier, 70% of its initial level, on an observation date for that quarter.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date after one year.
If each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon.
If either index finishes below the 70% barrier but each index finishes at or above the trigger level, 50% of the initial level, the payout will be par.
Otherwise, investors will be fully exposed to any losses of the worst performing index.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | Russell 2000 and Euro Stoxx 50
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| Amount: | $10,624,210
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| Maturity: | Oct. 17, 2024
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| Coupon: | 8.25%, payable quarterly if each index closes at or above its coupon barrier level on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above its coupon barrier level, par plus contingent coupon; if either index finishes below barrier level but each index finishes at or above trigger level, par; otherwise, full exposure to decline of worst performing index
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| Call: | At par plus contingent coupon if each index closes at or above its initial level on any quarterly observation date after one year
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| Initial levels: | 1,053.324 for Russell, 2,991.50 for Euro Stoxx
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| Coupon barriers: | 737.331 for Russell, 2,094.05 for Euro Stoxx; 70% of initial levels
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| Trigger levels: | 526.665 | for Russell, 1,495.75 for Euro Stoxx; 50% of initial levels
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| Pricing date: | Oct. 10
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| Settlement date: | Oct. 16
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| Agent: | UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 22547T225
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