By Susanna Moon
Chicago, Dec. 30 – Credit Suisse AG, London Branch priced $7.24 million of 0% autocallable market-linked step-up notes due Dec. 22, 2017 linked to a basket of two indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a weight of 60% and the MSCI EAFE index with a weight of 40%.
The notes will be called at par plus 8% if the basket closes at or above the initial level on either call date.
If the basket finishes above the step-up value – 131.2% of the initial level – the payout at maturity will be par of $10 plus the basket gain.
If the basket finishes at or above the initial level but at or below the step-up value, the payout at maturity will be par of $10 plus the step-up payment of 31.2%.
Investors will be exposed to any losses.
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 basket: | S&P 500 index (60% weight) and the MSCI EAFE index (40% weight)
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| Amount: | $7,236,520
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| Maturity: | Dec. 22, 2017
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above step-up level, par plus gain; if basket gains up to step-up value, par plus 31.2%; exposure to any losses
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| Step-up value: | 131.2% of initial level
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| Call: | At par plus 8% per year if basket closes at or above initial level on Jan. 8, 2016 or Dec. 23, 2016
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| Pricing date: | Dec. 24
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| Settlement date: | Jan. 2
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| Agent: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 22539W822
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