By Marisa Wong
Madison, Wis., May 1 – Credit Suisse AG, London Branch priced $790,000 of 0% autocallable securities due April 28, 2017 linked to the S&P 500 index and the Russell 2000 index, 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 8% if each underlying index closes at or above its trigger level on any of four semiannual observation dates. The trigger level is 100% of the initial level.
A knock-in event occurs if either index closes below its knock-in level, 70% of its initial level, on any trading day during the life of the notes.
If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par plus the contingent minimum return of 8%. If a knock-in event does occur, the payout will be par plus the return of the worst-performing index, with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable securities
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $790,000
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Maturity: | April 28, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus contingent return of 8% if knock-in event does not occur; otherwise, exposure to decline of worst-performing index
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Knock-in event: | Final level of either index is equal to or less than its knock-in level
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Call: | At par plus 8% per year if each underlying index closes at or above its initial level on any of four semiannual observation dates
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Initial index levels: | 2,108.92 for S&P 500 and 1,252.70 for Russell 2000
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Knock-in levels: | 1,476.244 for S&P 500 and 876.89 for Russell 2000, 70% of initial levels
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Pricing date: | April 27
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Settlement date: | April 30
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2.8%
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Cusip: | 22546VAC0
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