Credit Suisse to price callable daily range accrual notes on Russell

By Toni Weeks

San Luis Obispo, Calif., Dec. 3 - Credit Suisse AG plans to price callable daily Russell 2000 index-linked range accrual notes due Dec. 26, 2019, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be the applicable rate multiplied by the proportion of days on which the index closes at or above the accrual barrier, 80% of the initial index level. The applicable rate is expected to be 6% and will be set at pricing. Interest is payable monthly.

The payout at maturity will be par unless the index falls by more than 20%, in which case investors will lose 1% for every 1% decline beyond the 20% buffer.

The notes will be callable at par on any interest payment date beginning Dec. 26, 2014.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22547QE85) are expected to price Dec. 20 and settle Dec. 26.

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