Credit Suisse plans callable daily range accrual notes on S&P, Russell

By Marisa Wong

Madison, Wis., June 6 - Credit Suisse AG, Nassau Branch plans to price callable daily range accrual securities due June 12, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 8.5% per year multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 75% of the initial index level. Interest is payable monthly.

A knock-in event will occur if the final level of either index is less than its knock-in level, 50% of the initial index level.

If a knock-in event occurs, the payout at maturity will be par plus the return of the lowest-performing index, with full exposure to losses. Otherwise, the payout will be par.

After one year, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22547Q4B9) are expected to price June 7 and settle June 12.

Credit Suisse Securities (USA) LLC is the agent.

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