By Wendy Van Sickle
Columbus, Ohio, March 13 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due June 8, 2018 linked to the lesser performing of the SPDR Euro Stoxx 50 exchange-traded fund and the iShares Russell 2000 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 7.25% if each fund closes at or above its coupon barrier, 70% of its initial level, on the observation date for that month
The notes will be called at par if each fund closes at or above its initial level on any quarterly call observation date beginning on Sept. 5.
The payout at maturity will be par unless either fund finishes below its initial level and either fund finishes below its 70% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | SPDR Euro Stoxx 50 ETF, iShares Russell 2000 ETF
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| Amount: | $1 million
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| Maturity: | June 8, 2018
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| Coupon: | 7.25% per year, payable monthly if each fund closes at or above its barrier level on any monthly observation date
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| Price: | Par
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| Payout at maturity: | Par plus unless either fund finishes below initial level and either fund closes below knock-in level any day during life of notes, in which full exposure to the losses of the worst-performing fund
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| Call: | Automatically if each fund closes at or above its initial level on any quarterly call observation date beginning on Sept. 5
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| Initial prices: | $138.65 for iShares Russell 2000, $35.14 for SPDR Euro Stoxx 50
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| Barrier/knock-in prices: | $97.055 for iShares Russell 2000, $24.598 for SPDR Euro Stoxx 50; 70% of initial levels
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| Pricing date: | March 3
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| Settlement date: | March 8
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22549JFF2
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