By Susanna Moon
Chicago, Oct. 1 – Credit Suisse AG, London Branch priced $36.97 million of 0% autocallable market-linked step-up notes due Sept. 22, 2017 linked to the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 10% if the index closes at or above the initial level on either of two annual observation dates.
If the notes are not called and the index finishes above the step-up value – 135% of the initial level – the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 35%.
Investors will be exposed to any losses if the index declines.
BofA Merrill Lynch is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | MSCI Emerging Markets
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Amount: | $36,973,370
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Maturity: | Sept. 22, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes above step-up value, par plus index return; if index finishes at or below step-up value but at or above initial level, par plus 35%; full exposure to any index decline
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Call: | At par plus 10% per year if index closes at or above initial level on Oct. 2, 2015 or Sept. 23, 2016
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Initial level: | 1,025.63
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Step-up value: | 1,384.60, 135% of initial level
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Pricing date: | Sept. 25
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Settlement date: | Oct. 2
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22545F185
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