New Issue: Credit Suisse prices $26.23 million autocallable market-linked step-up notes on Russell 2000

By Wendy Van Sickle

Columbus, Ohio, May 30 – Credit Suisse AG, London Branch priced $26,229,050 of 0% autocallable market-linked step-up notes due June 1, 2020 tied 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 9.35% if the index closes at or above the initial level on any annual observation date.

If the index finishes at or above the initial level, the payout at maturity will be par of $10 plus the greater of the step-up payment and the index return. The step-up payment is 30%.

Investors will lose 1% for every 1% index decline.

BofA Merrill Lynch is the underwriter.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable market-linked step-up notes
Underlying index:	Russell 2000
Amount:	$26,229,050
Maturity:	June 1, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above step-up value, par plus index return; if index stays flat or gains but finishes at or below step-up value, par plus 30%; exposure to losses
Call:	Automatically at par plus annualized call premium of 9.35% if the index closes at or above initial level on any annual observation date
Initial index level:	1,383.388
Step-up value:	1,798.404, 130% of initial value
Pricing date:	May 25
Settlement date:	June 5
Underwriter:	BofA Merrill Lynch
Fees:	2%
Cusip:	22549H856

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