By Marisa Wong
Madison, Wis., May 30 - Credit Suisse AG, Nassau Branch priced $5.5 million of callable daily range accrual securities due Feb. 28, 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 6.05% multiplied by the proportion of days during an observation period on which the index closes above 80% of the initial index level. Interest is payable monthly.
If the index gains, finishes flat or falls by up to 20%, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline beyond the 20% buffer.
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: | $5.5 million
|
| Maturity: | Feb. 28, 2019
|
| Coupon: | 6.05% per year for each day that index closes above barrier level; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls by more than 20%, in which case 1% loss for every 1% drop beyond 20%
|
| Initial level: | 997.35
|
| Accrual barrier level: | 797.88, 80% of initial level
|
| Call option: | At par on any interest payment date beginning May 30, 2014
|
| Pricing date: | May 28
|
| Settlement date: | May 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546T7A3
|
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