By Sarah Lizee
Olympia, Wash., Oct. 2 – Credit Suisse AG, London Branch priced $13.91 million of 0% autocallable market-linked step-up notes due Sept. 24, 2021 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 8.05% if the index closes at or above the initial level on any annual observation date.
If the notes are not called and the index finishes above the step-up value, 130% 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 payment of 30%.
Otherwise, investors will lose 1% for each 1% decline of the index from its initial level.
BofA Merrill Lynch is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $13,912,420
|
| Maturity: | Sept. 24, 2021
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index finishes above step-up value, par plus index return; if index stays flat or gains but finishes at or below step-up value, par plus 30%; exposure to losses
|
| Call: | Automatically at par plus annualized call premium of 8.05% if the index closes at or above initial level on any annual observation date
|
| Initial index level: | 1,690.526
|
| Step-up value: | 2,197.684, 130% of initial value
|
| Pricing date: | Sept. 27
|
| Settlement date: | Oct. 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 22548Y512
|
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