Published on 6/1/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $927,000 step-up callable daily range accrual notes on two indexes
By Susanna Moon
Chicago, June 1 – Credit Suisse AG, London Branch priced $927,000 of step-up callable daily range accrual securities due Nov. 29, 2022 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 each index closes at or above the coupon barrier, 71% of the initial index level. The rate will be 9% for the first four years, stepping up to 11% for the next four years and then to 13% after that. Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
Beginning June 29, 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: | Step-up callable daily range accrual securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50
|
| Amount: | $927,000
|
| Maturity: | May 29, 2025
|
| Coupon: | For each day that each index closes at or above the accrual barrier, accrual at 9% for the first four years, stepping up to 11% for the next four years and then to 13% after that; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index falls by more than 50%, in which case investors will be fully exposed to the losses of the worst performing index
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 1,238.756 for Russell, 3,619.30 for Stoxx
|
| Coupon barriers: | 879.5168 for Russell, 2,569.703 for Stoxx; 71% of initial level
|
| Knock-in barriers: | 619.378 for Russell, 1,809.65 for Stoxx, 50% of initial level
|
| Pricing date: | May 26
|
| Settlement date: | May 29
|
| Agent: | Incapital LLC
|
| Fees: | 4.51%
|
| Cusip: | 22546VCV6
|
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