Credit Suisse plans callable daily range accrual notes on Euro Stoxx

By Toni Weeks

San Luis Obispo, Calif., June 6 - Credit Suisse AG, Nassau Branch plans to price callable daily range accrual securities due June 12, 2023 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 8% multiplied by the proportion of days during an observation period on which the index closes at or above the accrual barrier, 75% of the initial index level. Interest is payable monthly.

A knock-in event will occur if the final index level is less than the knock-in level, 50% of the initial level.

If a knock-in event occurs, the payout at maturity will be par plus the index return, with full exposure to losses. Otherwise, the payout will be par.

After one year, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22547Q4C7) are expected to price June 7 and settle June 12.

Credit Suisse Securities (USA) LLC is the agent.

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