Credit Suisse plans callable daily range accrual notes on two indexes

By Marisa Wong

Madison, Wis., June 10 - Credit Suisse AG, Nassau Branch plans to price autocallable daily range accrual securities due June 19, 2023 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 7.45% per year multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 65% of the initial index level. Interest is payable quarterly.

A trigger event will occur if each index closes at or above its initial level on any quarterly observation date beginning June 15, 2016. If a trigger event occurs, the notes will be automatically called at par plus the contingent coupon, if any.

A knock-in event will occur if the final index level of either index is less than the knock-in level, 65% of its initial index level.

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

The notes (Cusip: 22547Q4K9) are expected to price June 14 and settle June 19.

Credit Suisse Securities (USA) LLC is the agent.

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