Credit Suisse plans daily range accrual notes linked to Russell 2000

By Toni Weeks

San Diego, Nov. 1 - Credit Suisse AG, Nassau Branch plans to price daily range accrual notes due Nov. 30, 2016 linked to the Russell 2000 index, according to a 424B2 filed Friday with the Securities and Exchange Commission.

Interest will accrue at 7% per year multiplied by the proportion of days on which the closing index level is greater than the accrual barrier, which is expected to be 75% of the initial level. Interest, if any, will be payable quarterly.

A knock-in event will occur if the final index level is equal to or less than 75% of the initial level.

If a knock-in event occurs, investors will share in any losses. Otherwise, the payout at maturity will be par.

The exact terms will be set at pricing.

The notes (Cusip: 22546TE23) are expected to price on Nov. 27 and settle on Nov. 30.

Credit Suisse Securities (USA) LLC is the agent.

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