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Credit Suisse plans five-year daily range accrual notes tied to S&P 500
By Susanna Moon
Chicago, March 4 – Credit Suisse AG, London Branch plans to price callable daily range accrual securities due March 31, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 6% annualized for each day that the index closes at or above its accrual barrier, about 60% of its initial index level. Interest will be payable monthly.
The payout at maturity will be par unless the index finishes below the 60% knock-in level, in which case investors will be fully exposed to any losses.
The notes will be callable at par on any interest payment date beginning March 31, 2017.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on March 28 and settle on March 31.
The Cusip number is 22546VYM2.
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