New Issue: Credit Suisse prices $25.01 million market-linked step-up autocallables on Russell 2000

By Susanna Moon

Chicago, Aug. 4 – Credit Suisse AG, London Branch priced $25.01 million of 0% autocallable market-linked step-up notes due July 31, 2020 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus a call premium of 6.55% if the index closes at or above the initial level on any annual call date.

If the index finishes above the step-up level – 130% of the initial value – the payout at maturity will be par plus the index return.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.

Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond 15%.

BofA Merrill Lynch is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable market-linked step-up notes
Underlying index:	Russell 2000
Amount:	$25,008,810
Maturity:	July 31, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above step-up level, par plus gain; if index gains up to step-up value, par plus 30%; par if index falls by up to 15%; exposure to any losses beyond 15%
Call:	At par plus an annual call premium of 6.55% if index closes at or above initial level on Aug. 5, 2016, July 21, 2017, July 20, 2018 or July 19, 2019
Initial level:	1,232.071
Step-up level:	1,601.692, 130% of initial level
Pricing date:	July 30
Settlement date:	Aug. 6
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	22548D526

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