By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Credit Suisse AG, London Branch priced $39.89 million of 0% autocallable market-linked step-up notes due Feb. 28, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a call premium of 7.65% per year if the index closes at or above its initial level on any annual call observation date.
If the index finishes above the step-up level, 121% 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 21%.
Investors will be fully exposed to any index decline.
BofA Merrill Lynch is the underwriter.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | S&P 500
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Amount: | $39,890,450
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Maturity: | Feb. 28, 2020
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Coupon: | 0%
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Price: | Par of $10
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Call: | At par plus an 7.65% annual call premium if the index closes at or above its initial level on any annual call date
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Payout at maturity: | If the index finishes above the step-up level, par plus the index gain; if index finishes at or below the step-up level but at or above the initial level, par plus 21%; full exposure to losses
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Initial level: | 2,363.81
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Step-up level: | 2,860.21, 121% of initial level
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Pricing date: | Feb. 23
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Settlement date: | March 2
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22547V451
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