New Issue: Credit Suisse prices $1.53 million callable daily range accrual securities on S&P 500

By Jennifer Chiou

New York, Oct. 1 – Credit Suisse AG, London Branch priced $1,533,000 of callable daily S&P 500 index-linked range accrual securities due March 30, 2022, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 5.6% for each day that the index closes at or above the 80% coupon barrier level. Interest is 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 each 1% index decline beyond the 20% buffer.

The notes will be callable at par on any interest payment date beginning on Sept. 30, 2015.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Callable daily range accrual securities
Underlying index:	S&P 500
Amount:	$1,533,000
Maturity:	March 30, 2022
Coupon:	5.6% annualized per day that index closes at or above coupon barrier level
Price:	Par
Payout at maturity:	Par unless index falls by more than 20%, in which case 1% loss for each 1% index decline beyond 20% buffer
Call option:	At par on any interest payment date beginning on Sept. 30, 2015
Initial level:	1,965.99
Barrier level:	1,572.792, 80% of initial level
Pricing date:	Sept. 25
Settlement date:	Sept. 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.5%
Cusip:	22547QT71

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