By Wendy Van Sickle
Columbus, Ohio, Nov. 30 – Credit Suisse AG, London Branch priced $839,000 of contingent coupon autocallable yield notes due July 23, 2018 linked to the least performing of the Russell 2000 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 10% if each asset closes at or above its coupon barrier, 60% of its initial level, on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless either asset finishes below its initial level and any asset closes below its 60% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the least-performing asset.
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 assets: | Russell 2000 index and SPDR S&P Oil & Gas Exploration & Production exchange-traded fund
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Amount: | $839,000
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Maturity: | May 30, 2019
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Coupon: | 10% per year, payable quarterly if each asset closes at or above its barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless either asset finishes below its initial level and either closes below its knock-in level any day during life of notes, in which case full exposure to any losses of the least-performing asset
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Call: | Automatically at par if each asset closes at or above its initial level on any quarterly observation date after six months
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Initial levels: | 1,513.309 for Russell, $34.42 for ETF
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Barrier/knock-in levels: | 907.98541 for Russell, $20.652 for ETF; 60% of initial levels
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Pricing date: | Nov. 27
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Settlement date: | Nov. 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.325%
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Cusip: | 22550BN66
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