By Marisa Wong
Madison, Wis., Aug. 29 – Credit Suisse AG, London Branch priced $1 million of callable daily range accrual securities due Feb. 28, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 5.6% for each day that the index closes at or above the 80% coupon barrier level. Interest is payable monthly.
The payout at maturity will be par unless the index falls by more than 20%, in which case investors will lose 1% for each 1% index decline beyond the 20% buffer.
The notes will be callable at par on any interest payment date beginning Aug. 31, 2015.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable daily range accrual securities
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| Underlying index: | S&P 500
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| Amount: | $1 million
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| Maturity: | Feb. 28, 2022
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| Coupon: | 5.6% annualized per day that index closes at or above coupon barrier level
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| Price: | Par
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| Payout at maturity: | Par unless index falls by more than 20%, in which case 1% loss for each 1% index decline beyond 20% buffer
|
| Call option: | At par on any interest payment date beginning Aug. 31, 2015
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| Initial level: | 2,000.02
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| Coupon barrier level: | 1,600.016, 80% of initial level
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22547QRZ1
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