Published on 4/4/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.16 million callable daily range accrual notes on Russell
By Wendy Van Sickle
Columbus, Ohio, April 4 – Credit Suisse AG, London Branch priced $1.16 million of callable daily range accrual securities due March 31, 2022 linked to the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.
Interest will accrue at 5.6% for each day that the index closes at or above the accrual barrier, 80% of the initial index level. Interest will be payable monthly.
The payout at maturity will be par unless the index falls by more than 20%, in which case investors will lose 1% for every 1% drop beyond 20%.
The notes are callable at par on any interest payment date after one year.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Callable daily range accrual securities
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Underlying index: | Russell 2000
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Amount: | $1,159,000
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Maturity: | March 31, 2022
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Coupon: | 5.6% annualized for each day that index closes at or above accrual barrier level; payable monthly
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Price: | Par
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Payout at maturity: | Par unless index falls by more than 20%, in which case exposure to losses beyond 20%
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Call option: | At par on any interest payment date after a year
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Initial level: | 1,367.261
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Barrier level: | 1,093.8088, 80% of initial level
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Pricing date: | March 28
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Settlement date: | March 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3.5%
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Cusip: | 22548QX83
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