New Issue: Credit Suisse prices $860,000 callable range accrual notes on indexes

By Marisa Wong

Madison, Wis., June 1 – Credit Suisse AG, London Branch priced $860,000 of 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 8.4% per year multiplied by the proportion of days on which each index closes at or above its barrier, 60% of its initial index level. Interest is payable quarterly.

The payout at maturity will be par unless either index finishes below its barrier, in which case investors will be fully exposed to the decline of the lesser-performing index.

The notes are callable at par on any interest payment date.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, London Branch
Issue:	Callable daily range accrual securities
Underlying indexes:	Russell 2000 and Euro Stoxx 50
Amount:	$860,000
Maturity:	May 29, 2025
Coupon:	8.4% per year multiplied by proportion of days on which each index closes at or above barrier; payable quarterly
Price:	Par
Payout at maturity:	Par unless either index finishes below barrier, in which case 1% loss for each 1% drop in lesser-performing index
Call option:	At par on any interest payment date
Initial index levels:	1,238.756 for Russell 2000, 3,619.30 for Euro Stoxx
Barrier levels:	743.2536 for Russell, 2,171.58 for Euro Stoxx; 60% of initial levels
Pricing date:	May 26
Settlement date:	May 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4.584%
Cusip:	22546VCS3

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