By Angela McDaniels
Tacoma, Wash., March 3 - Credit Suisse AG, London Branch priced $28.86 million of 0% autocallable market-linked step-up notes due Feb. 27, 2017 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the index closes at or above the initial index level on either of two observation dates. The call amount is $10.85 per $10.00 principal amount if the notes are called on March 6, 2015 and $11.70 if they are called on Feb. 19, 2016.
If the notes are not called and the final index level is greater than the step-up value, 118.5% of the initial level, the payout at maturity will be par plus the index return.
If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus 18.5%.
Investors will receive par if the index declines by 5% or less and will have one-to-one exposure to any decline beyond 5%.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $28,863,930
|
| Maturity: | Feb. 27, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 18.5%; par if index declines by 5% or less; one-to-one exposure to any decline beyond 5%
|
| Call: | Automatically at par plus 8.5% per year if index closes at or above initial level on March 6, 2015 or Feb. 19, 2016
|
| Initial index level: | 1,187.943
|
| Step-up value: | 1,403.55, 118.5% of initial index level
|
| Threshold value: | 1,128.55, 95% of initial index level
|
| Pricing date: | Feb. 27
|
| Settlement date: | March 6
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22545F698
|
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