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Credit Suisse to price daily range accrual notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., May 5 - Credit Suisse AG plans to price callable daily range accrual securities due May 28, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be the applicable rate multiplied by the proportion of days on which the index closes at or above the accrual barrier. The applicable rate is expected to be 5.1% per year, the accrual barrier is expected to be about 80% of the initial index level, and both will be set at pricing. Interest will be payable monthly.
The payout at maturity will be par unless the index falls by more than 20%, in which case investors will lose 1% for every 1% decline beyond the 20% buffer.
Beginning June 30, 2015, the notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
The notes are expected to price May 27 and settle May 30.
The Cusip number is 22547QLS3.
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