By Jennifer Chiou
New York, June 11 - Credit Suisse AG, Nassau Branch priced $6 million of callable daily range accrual securities due June 12, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be the 8.5% 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. Interest is payable monthly.
A knock-in event will occur if the final index level of either index is 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 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: | S&P 500 and Russell 2000
|
| Amount: | $6 million
|
| Maturity: | June 12, 2023
|
| Coupon: | 8.5% per year for each day that each index closes at or above its accrual barrier; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless final index level of either index is less than the knock-in level, in which case return of the lowest-performing index, with full exposure to losses
|
| Initial index levels: | 1,643.38 for S&P 500 and 987.62 for Russell 2000
|
| Accrual barrier levels: | 1,232.535 for S&P 500 and 740.715 for Russell 2000, 75% of initial levels
|
| Knock-in levels: | 821.69 for S&P 500 and 493.81 for Russell 2000, 50% of initial levels
|
| Call option: | At par on any interest payment date beginning on June 11, 2014
|
| Pricing date: | June 7
|
| Settlement date: | June 12
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.5%
|
| Cusip: | 22547Q4B9
|
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