Published on 6/27/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.92 million callable daily range accrual notes on two indexes
By Toni Weeks
San Luis Obispo, Calif., June 27 - Credit Suisse AG, Nassau Branch priced $6.92 million of callable daily range accrual securities due June 28, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be the applicable rate multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 75% of the initial index level. The applicable rate is 10% for the first four years, stepping up to 12% on June 29, 2017 and to 14% on June 30, 2020. Interest is payable quarterly.
A knock-in event will occur if the final index level of either index is equal to or less than the knock-in level, 50% of its initial index level.
If a knock-in event occurs, the payout at maturity will be par plus the index return of the lowest-performing index, with full exposure to losses. Otherwise, the payout will be par.
After one year, the notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable daily range accrual securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50
|
| Amount: | $6,923,000
|
| Maturity: | June 28, 2023
|
| Coupon: | Applicable rate multiplied by proportion of days in quarterly observation period on which each index closes at or above 75% of its initial level; applicable rate is 10% initially, stepping up to 12% on June 29, 2017 and to 14% on June 30, 2020; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if final level of lowest-performing index is at least 50% of initial level; otherwise, full exposure to decline of lowest-performing index
|
| Call option: | At par on any interest payment date beginning June 30, 2014
|
| Initial index levels: | 961.26 for Russell, 2,543.37 for Euro Stoxx
|
| Accrual barriers: | 720.945 for Russell, 1,907.5275 for Euro Stoxx, 75% of initial levels
|
| Knock-in levels: | 480.63 for Russell, 1,271.685 for Euro Stoxx, 50% of initial levels
|
| Pricing date: | June 25
|
| Settlement date: | June 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.15%
|
| Cusip: | 22547Q3Z7
|
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