By Marisa Wong
Madison, Wis., Feb. 26 – Credit Suisse AG, London Branch priced $4.8 million of callable daily range accrual securities due Aug. 29, 2022 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 7.1% per year multiplied by the proportion of days on which the index closes at or above the accrual barrier, 80% of the initial index level. Interest is payable monthly.
The payout at maturity will be par unless the index declines by more than 20%, in which case investors will lose 1% for every 1% decline beyond 20%.
Beginning Feb. 29, 2016, the notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Callable daily range accrual securities
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Underlying index: | Russell 2000
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Amount: | $4.8 million
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Maturity: | Aug. 29, 2022
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Coupon: | 7.1% per year multiplied by proportion of days on which index closes at or above barrier level; payable monthly
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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% drop beyond 20%
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Call option: | At par on any interest payment date beginning Feb. 29, 2016
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Initial index level: | 1,233.975
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Barrier level: | 987.18, 80% of initial level
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Pricing date: | Feb. 24
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Settlement date: | Feb. 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3.5%
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Cusip: | 22546V4B9
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