New York, July 31 – Credit Suisse AG, London Branch priced $4.15 million of callable step-up range accrual notes due July 31, 2030 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will initially be 7% multiplied by the proportion of days on which the index closes at or above the index reference level, stepping up on July 31, 2020 to 8% multiplied by the proportion of days on which the index closes at or above the index reference level, and stepping up on July 31, 2025 to 10% multiplied by the proportion of days on which the index closes at or above the index reference level.
The index reference level is 70% of the initial index level.
The payout at maturity will be par if the final index level is equal to the barrier level, 50% of the initial level. Investors will be fully exposed to declines in the index if the final index level is below the barrier level.
Beginning July 31, 2016, the notes will be callable at par on any interest payment date.
Morgan Stanley & Co. LLC is distributor.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Callable contingent income range accrual step-up securities
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| Underlying index: | Russell 2000 index
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| Amount: | $4.15 million
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| Maturity: | July 31, 2030
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| Coupon: | Initially 7% multiplied by the proportion of days on which the index closes at or above the index reference level, stepping up on July 31, 2020 to 8% multiplied by the proportion of days on which the index closes at or above the index reference level, and stepping up on July 31, 2025 to 10% multiplied by the proportion of days on which the index closes at or above the index reference level
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| Price: | Par
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| Payout at maturity: | Par unless index closes below the barrier of 50% of its initial level in which case full exposure to losses
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| Call option: | Beginning April 30, 2016, callable at par on any interest payment date
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| Initial index level: | 1,224.599
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| Index reference level: | 857.2193, 70% of initial level
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| Barrier level: | 612.2995, 50% of initial level
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| Pricing date: | July 28
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| Settlement date: | July 31
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| Distributor: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 22546VHC3
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