By Angela McDaniels
Tacoma, Wash., Jan. 29 – Credit Suisse AG, Nassau Branch priced $20 million of callable step-up range accrual notes due Jan. 30, 2030 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is equal to the underlying rate multiplied by the proportion of days on which six-month Libor is 5% or less and the index closes at or above the index reference level, 75% of the initial index level. The underlying rate is 5% per year in years one through five, 5.5% per year in years six through 10 and 6% per year in years 11 through 15. Interest is payable quarterly.
The payout at maturity will be par.
Beginning Jan. 30, 2016, the notes will be callable at par on any interest payment date.
The issuer said it may increase the issue size prior to the settlement date but is not required to do so.
Morgan Stanley & Co. LLC is distributor.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable step-up range accrual notes
|
| Underlyings: | S&P 500 index and six-month Libor
|
| Amount: | $20 million
|
| Maturity: | Jan. 30, 2030
|
| Coupon: | Underlying rate multiplied by proportion of days on which six-month Libor is 5% or less and index closes at or above index reference level; underlying rate is 5% per year in years one through five, 5.5% per year in years six through 10 and 6% per year in years 11 through 15; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | Beginning Jan. 30, 2016, callable at par on any interest payment date
|
| Initial index level: | 2,029.55
|
| Index reference level: | 1,522.1625, 75% of initial level
|
| Pricing date: | Jan. 27
|
| Settlement date: | Jan. 30
|
| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546V2H8
|
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