By Marisa Wong
Madison, Wis., April 28 - Credit Suisse AG, London Branch priced $15.42 million of 0% autocallable market-linked step-up notes due April 28, 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 $10.80 per $10.00 principal amount if the notes are called on April 27, 2015 and $11.60 if they are called on April 22, 2016.
If the notes are not called and the final index level is greater than the step-up value, 132.4% 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 32.4%.
If the final index level is at least 95% of the initial index level, the payout will be par. Otherwise, investors will lose 1% for every 1% decline beyond 5%.
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: | Russell 2000
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Amount: | $15,421,840
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Maturity: | April 28, 2017
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Coupon: | 0%
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Price: | Par of $10
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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 32.4%; if final index level is at least 95% of initial index level, par; otherwise, 1% loss for every 1% decline beyond 5%
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Call: | Automatically at par plus 8% per year if index closes at or above initial level on April 27, 2015 or April 22, 2016
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Initial index level: | 1,144.3520
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Step-up value: | 1,515.12, 132.4% of initial index level
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Pricing date: | April 24
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Settlement date: | May 1
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22545F482
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