By Angela McDaniels
Tacoma, Wash., Aug. 5 – Credit Suisse AG, London Branch priced $3.43 million of high/low coupon autocallable yield notes due Feb. 6, 2017 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index closes below its barrier level, 75% of its initial level, on any day during the life of the notes.
Each quarter, the notes will pay a coupon at the rate of 11.56% per year if a knock-in event does not occur during the observation period for that quarter. If a knock-in event occurs during the observation period, the coupon for that interest period will be 1% per year.
The notes will be called at par if both indexes close at or above their initial levels on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless a knock-in event has occurred, in which case investors will be fully exposed to the negative return of the lesser-performing index.
Credit Suisse Securities (USA) LLC. is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | High/low coupon autocallable yield notes
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Underlying indexes: | Russell 2000 and Euro Stoxx 50
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Amount: | $3,433,000
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Maturity: | Feb. 6, 2017
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Coupon: | Each quarter, notes pay coupon at rate of 11.56% per year if knock-in event does not occur during that quarter; otherwise, coupon will be 1% per year for that interest period
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Price: | Par
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Payout at maturity: | Par unless knock-in event has occurred, in which case full exposure to negative return of lesser-performing index
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Call: | Automatically at par if both indexes close at or above their initial levels on any quarterly observation date
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Knock-in event: | Either index closes below barrier level on any day during life of notes
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Initial levels: | 1,238.68 for Russell 2000 and 3,600.69 for Euro Stoxx 50
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Barrier levels: | 929.01 for Russell 2000 and 2,700.5175 for Euro Stoxx 50; 75% of initial levels
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Pricing date: | July 31
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Settlement date: | Aug. 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546VHP4
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