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Credit Suisse plans step-up range accrual notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Jan. 13 – Credit Suisse AG plans to price callable step-up range accrual notes due Jan. 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 expected to be 75% of the initial index level and will be set at pricing. The underlying rate will be 5% per year in years one through five, 5.5% per year in years six through 10 and 6% per year in years 11 through 15. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning Jan. 30, 2016, the notes will be callable at par on any interest payment date.
Morgan Stanley & Co. LLC is distributor.
The notes are expected to price Jan. 27 and settle Jan. 30.
The Cusip number is 22546V2H8.
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