By Toni Weeks
San Luis Obispo, Calif., May 28 – Credit Suisse AG, London Branch priced $2.38 million of 0% autocallable securities due May 30, 2017 linked to the S&P 500 index and the iShares Nasdaq Biotechnology exchange-traded fund, 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 12% if each underlying component closes at or above its trigger level on either of two annual observation dates. The trigger level is 100% of the initial level.
A knock-in event occurs if the final level of either component is at or below its knock-in level, 70% of its initial level.
If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par. If a knock-in event does occur, the payout will be par plus the return of the worst-performing component, with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying components: | S&P 500 index and iShares Nasdaq Biotechnology ETF
|
| Amount: | $2,375,000
|
| Maturity: | May 30, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless knock-in event occurs, in which case exposure to decline of worst-performing component
|
| Knock-in event: | Final level of either component is equal to or less than its knock-in level
|
| Call: | At par plus 12% per year if each underlying component closes at or above its initial level on either of two annual observation dates
|
| Initial component levels: | 2,126.06 for S&P 500 and $364.42 for ETF
|
| Knock-in levels: | 1,488.242 for S&P 500 and $255.094 for ETF; 70% of initial levels
|
| Pricing date: | May 22
|
| Settlement date: | May 28
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.35%
|
| Cusip: | 22546VDS2
|
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