Credit Suisse plans 7.5-year daily range accrual notes tied to Russell

By Susanna Moon

Chicago, Feb. 4 – Credit Suisse AG, London Branch plans to price callable daily range accrual securities due Aug. 29, 2023 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 7% annualized for each day that the index closes at or above its accrual barrier, about 75% of its initial index level. Interest will be payable monthly.

The payout at maturity will be par unless the index falls by more than 25%, in which case investors will be exposed to any losses beyond the 25% buffer.

The notes will be callable at par on any interest payment date beginning Feb. 28, 2017.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 29.

The Cusip number is 22546VRQ1.

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