By Marisa Wong
Madison, Wis., Oct. 31 - Credit Suisse AG, Nassau Branch priced $566,000 of daily range accrual securities due Oct. 31, 2016 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 7% per year multiplied by the proportion of days on which the closing index level is greater than or equal to the accrual barrier, 75% of the initial level. Interest, if any, will be payable quarterly.
A knock-in event will occur if the final index level is less than 75% of the initial level.
If a knock-in event occurs, investors will share in any losses. Otherwise, the payout at maturity will be par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Daily range accrual securities
|
| Underlying index: | Russell 2000 index
|
| Amount: | $566,000
|
| Maturity: | Oct. 31, 2016
|
| Coupon: | 7% per year for each day closing index level is greater than or equal to 75% of initial level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless final index level is less than knock-in level, in which case full exposure to losses
|
| Initial level: | 813.25
|
| Knock-in level: | 609.9375, 75% of initial level
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546TZV6
|
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