Credit Suisse plans step-up daily range accrual notes on two indexes

By Toni Weeks

San Luis Obispo, Calif., May 1 – Credit Suisse AG plans to price step-up callable daily range accrual securities due May 29, 2025 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is equal to the applicable rate multiplied by the proportion of days on which each index closes at or above its accrual barrier, 71% of its initial index level. The applicable rate is 9% for the first four years, stepping up to 11% on May 29, 2019 and to 13% on May 30, 2023. Interest will be payable quarterly.

The payout at maturity will be par unless either index finishes below its knock-in level, 50% of its initial level, in which case investors will be fully exposed to the decline of the least-performing index.

Beginning Aug. 31, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22546VCV6) will price May 26 and settle May 29.

Incapital LLC is the agent.

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