By Marisa Wong
Morgantown, W.Va., Sept. 4 – Credit Suisse AG, London Branch priced $4.5 million of callable daily range accrual securities due Feb. 28, 2023 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 7.25% per year multiplied by the proportion of days on which the index closes at or above the accrual barrier, 80% of the initial index level. Interest is payable monthly.
The payout at maturity will be par unless the index declines by more than 20%, in which case investors will lose 1% for every 1% decline beyond 20%.
Beginning Aug. 31, 2016, the notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable daily range accrual securities
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| Underlying index: | Russell 2000
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| Amount: | $4.5 million
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| Maturity: | Feb. 28, 2023
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| Coupon: | 7.25% per year multiplied by proportion of days on which index closes at or above barrier level; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls by more than 20%, in which case 1% loss for each 1% drop beyond 20%
|
| Call option: | At par on any interest payment date beginning Aug. 31, 2016
|
| Initial index level: | 1,132.188
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| Barrier level: | 905.7504, 80% of initial level
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22546VHD1
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