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Published on 2/5/2015 in the Prospect News Structured Products Daily.

Credit Suisse updates planned coupon, barrier for contingent coupon autocallables on two indexes

By Jennifer Chiou

New York, Feb. 5 – Credit Suisse AG changed the anticipated contingent coupon and coupon barrier level for its upcoming issue of contingent coupon autocallable yield notes due Feb. 27, 2025 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Every quarter, the notes will pay a contingent coupon if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 7.3% per year and will be set at pricing.

Previously, the barrier level was stated as 80% of the initial level, and the coupon rate was originally set at 7.25% per year.

As before, the payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.

Beginning on Feb. 24, 2016, the notes will be automatically callable at par on any interest payment date if each index closes at or above the initial level.

The notes (Cusip: 22546V4K9) will price on Feb. 24 and settle on Feb. 27.

Incapital LLC is the placement agent.


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