By Toni Weeks
San Luis Obispo, Calif., June 18 - Credit Suisse AG, Nassau Branch priced $2.5 million of autocallable daily range accrual securities due June 19, 2023 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 7.45% per year multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 65% of the initial index level. Interest is payable quarterly.
A trigger event will occur if each index closes at or above its initial level on any quarterly observation date beginning June 15, 2016. If a trigger event occurs, the notes will be automatically called at par plus the contingent coupon, if any.
A knock-in event will occur if the final index level of either index is less than the knock-in level, 65% of its initial index level.
If a knock-in event occurs, the payout at maturity will be par plus the index return of the lowest-performing index, with full exposure to losses. Otherwise, the payout will be par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable daily range accrual securities
|
| Underlying indexes: | S&P 500 and Euro Stoxx 50
|
| Amount: | $2.5 million
|
| Maturity: | June 19, 2023
|
| Coupon: | 7.5% per year for each day that each index closes at or above its accrual barrier; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless final index level of either index is less than the knock-in level, in which case par plus return of the lowest-performing index, with full exposure to losses
|
| Initial index levels: | 1,626.73 for S&P 500 and 2,667.32 for Euro Stoxx 50
|
| Accrual barrier/knock-in levels: | 1,057.3745 for S&P 500 and 1,733.758 for Euro Stoxx 50, 65% of initial levels
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date beginning June 15, 2016
|
| Pricing date: | June 14
|
| Settlement date: | June 19
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22547Q4K9
|
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