By Marisa Wong
Morgantown, W.Va., Sept. 30 – Credit Suisse AG, London Branch priced $26.63 million of 0% autocallable market-linked step-up notes due Sept. 22, 2017 tied to the S&P Oil & Gas Exploration & Production Select Industry index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus a call premium of 25.3% if the index closes at or above the initial level on Oct. 7, 2016.
If the index finishes above the step-up level – 130% of the initial value – the payout at maturity will be par plus the index return.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.
Otherwise, 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: | S&P Oil & Gas Exploration & Production Select Industry
|
| Amount: | $26,630,410
|
| Maturity: | Sept. 22, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index finishes above step-up level, par plus gain; if index gains up to step-up value, par plus 30%; exposure to any losses
|
| Call: | At par plus 25.3% if index closes at or above initial level on Oct. 7, 2016
|
| Initial level: | 5,157.43
|
| Step-up level: | 6,704.66, 130% of initial level
|
| Pricing date: | Sept. 24
|
| Settlement date: | Oct. 1
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22548D393
|
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