New Issue: Credit Suisse prices $1 million callable daily range accrual securities on S&P 500

By Jennifer Chiou

New York, Oct. 27 – Credit Suisse AG, London Branch priced $1 million of callable daily S&P 500 index-linked range accrual securities due Oct. 29, 2029, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at a specified rate for each day that the index closes at or above the 58.5% coupon barrier level. The annualized rate will be 7% until Oct. 28, 2019, then 8% until Oct. 28, 2024 and 9% until maturity. Interest is payable monthly.

The payout at maturity will be par unless the index falls by more than 50%, in which case investors will share fully in losses.

The notes will be callable at par on any interest payment date beginning on Oct. 28, 2015.

Incapital LLC is the placement agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Callable daily range accrual securities
Underlying index:	S&P 500
Amount:	$1 million
Maturity:	Oct. 29, 2029
Coupon:	Applicable rate multiplied the proportion of days on which index closes at or above barrier level; rate is 7% until Oct. 28, 2019, then 8% until Oct. 28, 2024 and 9% until maturity; payable monthly
Price:	Par
Payout at maturity:	Par unless index falls by more than 50%, in which case exposure to losses
Call option:	At par on any interest payment date beginning on Oct. 28, 2015
Initial level:	1,941.28
Knock-in level:	970.64, 50% of initial level
Barrier level:	1,572.792, 58.5% of initial level
Pricing date:	Oct. 23
Settlement date:	Oct. 28
Placement agent:	Incapital LLC
Fees:	0.1%
Cusip:	22547QVU7

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