Published on 4/30/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.26 million daily range accrual notes linked to indexes
By Toni Weeks
San Luis Obispo, Calif., April 30 – Credit Suisse AG, London Branch priced $3.26 million of callable daily range accrual securities due April 30, 2025 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 8% per year multiplied by the proportion of days on which each index closes at or above its accrual barrier, 60% of its initial index level. Interest will be payable quarterly.
The payout at maturity will be par unless either index finishes below its accrual barrier, in which case investors will be fully exposed to the decline of the least-performing index.
Beginning April 29, 2016, the notes will be callable at par on any interest payment date.
Incapital LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable daily range accrual securities
|
| Underlying indexes: | Russell 2000 and Euro Stoxx 50
|
| Amount: | $3,264,000
|
| Maturity: | April 30, 2025
|
| Coupon: | 8% per year multiplied by proportion of days on which each index closes at or above barrier level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index falls by more than 40%, in which case par plus return of least-performing index, with full exposure to losses
|
| Call option: | At par on any interest payment date beginning April 29, 2016
|
| Initial index levels: | 1,252.7 for Russell, 3,771.45 for Euro Stoxx
|
| Barrier levels: | 751.62 for Russell, 2,262.87 for Euro Stoxx; 60% of initial levels
|
| Pricing date: | April 27
|
| Settlement date: | April 30
|
| Agent: | Incapital LLC
|
| Fees: | 4.57%
|
| Cusip: | 22546VB96
|
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