By Marisa Wong
Madison, Wis., April 29 - Credit Suisse AG, Nassau Branch priced $3.15 million of callable daily range accrual securities due April 28, 2023 linked to the Russell 2000 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 the index closes at or above 75% of the initial index level. The applicable rate is 8.5% initially, stepping up to 9% on April 28, 2017 and to 10% on April 30, 2020. Interest is payable monthly.
A knock-in event will occur if the final index level is less than the knock-in level, 50% of the initial level.
If a knock-in event occurs, the payout at maturity will be par plus the index return, 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 index: | Russell 2000 index
|
| Amount: | $3.15 million
|
| Maturity: | April 28, 2023
|
| Coupon: | Equal to the applicable rate for each day that the closing index level is greater than or equal to 75% of initial level; applicable rate is 8.5% initially, stepping up to 9% on April 28, 2017 and to 10% on April 30, 2020; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless final index level is equal to or less than knock-in level, in which case full exposure to losses
|
| Initial level: | 935.25
|
| Accrual barrier level: | 701.4375, 75% of initial level
|
| Knock-in level: | 467.625, 50% of initial level
|
| Call option: | At par on any interest payment date beginning April 30, 2014
|
| Pricing date: | April 26
|
| Settlement date: | April 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22546T5G2
|
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