By Toni Weeks
San Luis Obispo, Calif., Nov. 4 – Credit Suisse AG, London Branch priced $56.53 million of 0% autocallable market-linked step-up notes due Oct. 28, 2016 linked to the S&P Oil & Gas Exploration and Production Select Industry 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 11% if the index closes at or above the initial level on the Nov. 6, 2015 observation date.
If the notes are not called and the index finishes above the step-up value – 161% 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 61%.
Investors will be fully exposed to any index decline.
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 index: | S&P Oil & Gas Exploration and Production Select Industry index
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Amount: | $56,530,690
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Maturity: | Oct. 28, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes above step-up value, par plus index return; if index finishes at or below step-up value but at or above initial level, par plus 61%; full exposure to any losses
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Call: | At par plus 11% per year if index closes at or above initial level on Nov. 6, 2015
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Initial level: | 8,976.66
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Step-up value: | 14,452.42, 161% of initial level
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Pricing date: | Oct. 30
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Settlement date: | Nov. 7
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22539W301
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