By Marisa Wong
Morgantown, W.Va., Aug. 29 – Credit Suisse AG, London Branch priced $14.34 million of 0% autocallable market-linked step-up notes due Aug. 27, 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 a call premium of 7.25% per year if the index closes at or above its initial level on any annual observation date.
If the index finishes above the step-up value – 135% 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 35%.
If the index falls by up to 15%, the payout will be par.
Investors will be exposed to index declines beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $14,336,980
|
| Maturity: | Aug. 27, 2021
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | If the index finishes above the step-up value, par plus the index gain; if the index finishes at or below the step-up level but at or above the initial level, par plus 35%; if index falls by up to 15%, par; exposure to losses beyond 15%
|
| Call: | At par plus a call premium of 7.25% per year if the index closes at or above its initial level on any annual observation date
|
| Initial level: | 1,240.005
|
| Step-up value: | 1,674.007, 135% of initial level
|
| Threshold value: | 1,054.004, 85% of initial level
|
| Pricing date: | Aug. 25
|
| Settlement date: | Sept. 2
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22547V741
|
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