Credit Suisse to price daily range accrual autocallables linked to S&P

By Angela McDaniels

Tacoma, Wash., Oct. 7 – Credit Suisse AG, London Branch plans to price autocallable daily range accrual securities due Oct. 29, 2030 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is expected to be 8.3% per year multiplied by the proportion of days on which the index closes at or above its accrual barrier, 75% of its initial index level. Interest will be payable monthly.

The notes will be automatically called if the index closes at or above the trigger level, expected to be 115% of the initial index level, on any quarterly trigger observation date.

The payout at maturity will be par unless the index finishes below the knock-in level, 60% of its initial level, in which case investors will be fully exposed to the decline from the initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Oct. 26 and settle Oct. 29.

The Cusip number is 22546VNL6.

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