Published on 8/28/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.72 million daily range accrual notes on Russell, Euro Stoxx
By Marisa Wong
Madison, Wis., Aug. 28 - Credit Suisse AG, London Branch priced $1.72 million of callable daily range accrual securities due Aug. 29, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 10.25% per year 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 quarterly.
A knock-in event will occur if the final index level of either index is less than the 50% knock-in 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.
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, London Branch
|
| Issue: | Callable daily range accrual securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50
|
| Amount: | $1.72 million
|
| Maturity: | Aug. 29, 2023
|
| Coupon: | 10.25% per year for each day that index closes above barrier level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If final index level of either index is less than knock-in level, par plus return of lowest-performing index, with full exposure to losses; otherwise, par
|
| Call option: | At par on any interest payment date beginning on Aug. 29, 2014
|
| Initial levels: | 1,038.47 for Russell, 2,821.45 for Euro Stoxx
|
| Accrual barrier levels: | 778.8525 for Russell, 2,116.0875 for Euro Stoxx; 75% of initial levels
|
| Knock-in levels: | 519.235 for Russell, 1410.725 for Euro Stoxx; 50% of initial levels
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.32%
|
| Cusip: | 22547Q7B6
|
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