By Angela McDaniels
Tacoma, Wash., Oct. 16 – Credit Suisse AG, London Branch priced $21.12 million of 0% autocallable market-linked step-up notes due Oct. 26, 2018 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call premium of 11% per year if the index closes at or above the initial index level on Oct. 21, 2016 or Oct. 20, 2017.
If the notes are not called and the final index level is greater than the step-up value, 125% of the initial index level, the payout at maturity will be par plus the index return.
If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 25%.
If the final index level is less than the initial level, investors will be fully exposed to the decline.
BofA Merrill Lynch is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | Russell 2000
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Amount: | $21,124,160
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Maturity: | Oct. 26, 2018
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 25%; full exposure to any index decline
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Call: | At par plus 11% per year if index closes at or above initial index level on Oct. 21, 2016 or Oct. 20, 2017
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Initial index level: | 1,162.771
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Step-up value: | 1,453.464, 125% of initial level
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Pricing date: | Oct. 15
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Settlement date: | Oct. 19
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22548D351
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