Credit Suisse plans daily range accrual notes linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., Aug. 15 - Credit Suisse AG plans to price callable yield daily range accrual securities due Aug. 30, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 6.75% per year for the first two years. After that, the coupon will be 6.75% per year multiplied by the proportion of days on which each index closes at or above its accrual barrier, 50% of its initial level. Interest will be payable monthly.

Beginning Aug. 29, 2014, the notes will be callable at par on any interest payment date.

If the notes are not called, the payout at maturity will be par unless either index finishes below its knock-in level, 50% of its initial level, in which case investors will lose 1% for every 1% that the lowest-performing index declines below its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Aug. 27 and settle Aug. 30.

The Cusip number is 22547QA55.

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