Published on 7/29/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.3 million callable daily range accrual notes on two indexes
By Susanna Moon
Chicago, July 29 - Credit Suisse AG, Nassau Branch priced $1.3 million of callable daily range accrual securities due July 31, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at a rate for each day that the indexes close at or above the 75% barrier level. The contingent rate will be 10% for the first four years, stepping up to 12% on July 31, 2017 and to 14% on July 30, 2020. Interest is payable quarterly.
A knock-in event will occur if either index finishes below the 50% knock-in level.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the index return of the worse performing index, with full exposure to losses.
The notes will be callable at par on any interest payment date after one year.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable daily range accrual securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50
|
| Amount: | $1.3 million
|
| Maturity: | July 31, 2023
|
| Coupon: | For each day that indexes closes at or above barrier level, 10% for the first four years, stepping up to 12% on July 31, 2017 and to 14% on July 30, 2020; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below knock-in level, in which case full exposure to losses of worst performing index
|
| Call option: | At par on any interest payment date beginning July 30, 2014
|
| Initial index levels: | 1,054.18 for Russell, 2,740.29 for Euro Stoxx
|
| Accrual barriers: | 790.635 for Russell, 2,055.2175 for Euro Stoxx; 75% of initial levels
|
| Knock-in levels: | 527.09 for Russell, 1,370.145 for Euro Stoxx; 50% of initial levels
|
| Pricing date: | July 25
|
| Settlement date: | July 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.83%
|
| Cusip: | 22547Q5V4
|
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