By Susanna Moon
Chicago, March 28 – Credit Suisse AG, London Branch priced $16.77 million of 0% autocallable market-linked step-up notes due March 26, 2021 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 8.61% if the index closes at or above its initial level on any annual call observation date.
If the index finishes above the step-up level of 140% 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 40%.
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 underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Market-linked step-up autocallable notes
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| Underlying index: | Russell 2000
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| Amount: | $16,768,530
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| Maturity: | March 26, 2021
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus a call premium of 8.61% per year if the index closes at or above its initial level on any annual observation date
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| Payout at maturity: | If the index finishes above the step-up level, par plus the index gain; if index finishes at or below the step-up level but at or above the initial level, par plus 40%; par if index falls by up to 15%; exposure to losses beyond 15%
|
| Initial level: | 1,075.699
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| Step-up level: | 1,505.979, 140% of initial level
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| Pricing date: | March 23
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| Settlement date: | March 31
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22548F117
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