Credit Suisse plans callable daily range accrual notes on two indexes

By Toni Weeks

San Luis Obispo, Calif., June 6 - Credit Suisse AG, Nassau Branch plans to price callable daily range accrual securities due June 28, 2023 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 will be the applicable rate multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 75% of the initial index level. The applicable rate is 10% for the first four years, stepping up to 12% on June 29, 2017 and to 14% on June 30, 2020. Interest is payable quarterly.

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

If a knock-in event occurs, the payout at maturity will be par plus the index return of the lowest-performing index, 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: 22547Q3Z7) are expected to price June 25 and settle June 28.

Credit Suisse Securities (USA) LLC is the agent.

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