By Angela McDaniels
Tacoma, Wash., June 2 - Credit Suisse AG, London Branch priced $36.19 million of 0% autocallable market-linked step-up notes due May 26, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the index closes at or above the initial index level on either of two observation dates. The call amount is $10.70 per $10.00 principal amount if the notes are called on June 1, 2015 or $11.40 if they are called on May 20, 2016.
If the notes and not called and the final index level is greater than the step-up value, 125.25% of the initial level, then 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, then the payout will be par plus 25.25%.
If the final index level is less than the initial index level, investors will have one-to-one exposure to the decline.
BofA Merrill Lynch is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | S&P 500
|
| Amount: | $36,192,100
|
| Maturity: | May 26, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| 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 25.25%; if final index level is less than initial index level, full exposure to index decline
|
| Call: | Automatically at par plus 7% per year if index closes at or above initial level on June 1, 2015 or May 20, 2016
|
| Initial index level: | 1,920.03
|
| Step-up value: | 2,404.84, 125.25% of initial index level
|
| Pricing date: | May 29
|
| Settlement date: | June 5
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22545F383
|
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