By Toni Weeks
San Luis Obispo, Calif., March 2 – Credit Suisse AG, London Branch priced $36.17 million of 0% autocallable market-linked step-up notes due Feb. 23, 2018 linked 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 an annualized call premium of 9.9% 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 – 125% 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 payment of 25%.
Investors will be fully exposed to any losses.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000 index
|
| Amount: | $36,174,780
|
| Maturity: | Feb. 23, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| 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 25%; full exposure to any losses
|
| Call: | At par plus 9.9% per year if index closes at or above initial level on two annual observation dates
|
| Initial level: | 1,239.114
|
| Step-up value: | 1,548.893, 125% of initial level
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22548D849
|
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