By Jennifer Chiou
New York, June 11 - Credit Suisse AG, Nassau Branch priced $4 million of callable daily range accrual securities due June 12, 2023 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 8% multiplied by the proportion of days during an observation period on which the index closes at or above the accrual barrier, 75% of the initial index level. 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: | Euro Stoxx 50
|
| Amount: | $4 million
|
| Maturity: | June 12, 2023
|
| Coupon: | 8% 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 50%, in which case 1% loss for every 1% drop beyond 50%
|
| Initial level: | 2,724.08
|
| Accrual barrier level: | 1,362.04, 75% of initial level
|
| Knock-in level: | 2,043.06, 50% of initial level
|
| 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: | 22547Q4C7
|
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