By Toni Weeks
San Luis Obispo, Calif., May 29 – Credit Suisse AG, London Branch priced $465,000 of 0% autocallable securities due May 30, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 8% if each underlying index closes at or above its trigger level on any of four semiannual observation dates. The trigger level is 100% of the initial level.
A knock-in event occurs if either index closes below its knock-in level, 72.5% of its initial level, on any trading day during the life of the notes.
If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par plus the contingent minimum return of 8%. If a knock-in event does occur, the payout will be par plus the return of the worst-performing index, with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $465,000
|
| Maturity: | May 30, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent return of 8% if knock-in event does not occur; otherwise, exposure to decline of worst-performing index
|
| Knock-in event: | Final level of either index is equal to or less than its knock-in level
|
| Call: | At par plus 8% per year if each underlying index closes at or above its initial level on any of four semiannual observation dates
|
| Initial index levels: | 2,104.2 for S&P 500 and 1,238.756 for Russell 2000
|
| Knock-in levels: | 1,525.545 for S&P 500 and 898.0981 for Russell 2000, 72.5% of initial levels
|
| Pricing date: | May 26
|
| Settlement date: | May 29
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.8%
|
| Cusip: | 22546VCC8
|
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