By Toni Weeks
San Luis Obispo, Calif., April 30 – Credit Suisse AG, Nassau Branch priced $22 million of callable step-up range accrual notes due April 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 will be 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, which is 75% of the initial index level. The underlying rate will be 4% per year in years one through five and 8% per year in years six through 15. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning April 30, 2016, the notes will be callable at par on any interest payment date.
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: | $22 million
|
| Maturity: | April 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 4% per year in years one through five and 8% in years six through 15; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | Beginning April 30, 2016, callable at par on any interest payment date
|
| Initial index level: | 2,108.92
|
| Index reference level: | 1,581.69, 75% of initial level
|
| Pricing date: | April 27
|
| Settlement date: | April 30
|
| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546VBR6
|
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