New Issue: Credit Suisse prices $10 million callable step-up range accrual notes on Libor, S&P

By Marisa Wong

Madison, Wis., May 28 – Credit Suisse AG, Nassau Branch priced $10 million of callable step-up range accrual notes due May 29, 2030 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at an annualized rate for each day that six-month Libor is less than or equal to 5% and the index closes at or above the 75% barrier level. The rate will be 5% for the first five years, stepping up to 6.5% on May 29, 2020 and to 9% on May 29, 2025. Interest will be payable quarterly.

The payout at maturity will be par plus accrued interest.

The notes are callable in whole at par on any interest payment date beginning May 29, 2016.

Morgan Stanley & Co. LLC will act as distributor.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Callable step-up range accrual notes
Underlyings:	S&P 500 index and six-month Libor
Amount:	$10 million
Maturity:	May 29, 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, 6.5% in years six through 10 and 9% in years 11 through 15; payable quarterly
Price:	Par
Payout at maturity:	Par
Call option:	Beginning May 29, 2016, at par on any interest payment date
Initial index level:	2,104.20
Index reference level:	1,578.15, 75% of initial level
Pricing date:	May 26
Settlement date:	May 29
Distributor:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	22546VDK9

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