By Toni Weeks
San Luis Obispo, Calif., Nov. 18 – Credit Suisse AG, Nassau Branch priced $20 million of six-month Libor and S&P 500 index range accrual notes due Nov. 19, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 6% per year multiplied by the proportion of days on which six-month Libor is between 0% and 5% and the closing index level is greater than the reference level, 75% of the initial level. Interest, if any, will be payable quarterly.
The payout at maturity will be par plus accrued interest, if any.
The notes are callable in whole at par on any interest payment date beginning Nov. 19, 2015.
Morgan Stanley & Co. LLC is the distributor.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable range accrual notes
|
| Underlyings: | S&P 500 index and six-month Libor
|
| Amount: | $20 million
|
| Maturity: | Nov. 19, 2029
|
| Coupon: | 6% for each day that index closes at or above reference level and Libor is at or below the reference rate; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Nov. 19, 2015
|
| Initial level: | 2,039.82
|
| Reference level: | 1,529.865, 75% of initial level
|
| Pricing date: | Nov. 14
|
| Settlement date: | Nov. 19
|
| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22547QVH6
|
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