Credit Suisse to price range accrual notes linked to Libor, S&P 500

By Angela McDaniels

Tacoma, Wash., May 16 – Credit Suisse AG plans to price step-up range accrual securities due May 20, 2031 linked to Libor and 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, 60% of the initial index level, and Libor remains within the rate range. Interest will be payable quarterly.

The applicable rate will be 5% per year for the first five years, 5.1% per year for the next five years and 5.5% per year for the final five years.

The rate range will be greater than or equal to zero and less than or equal to 4% for the first five years, greater than or equal to zero and less than or equal to 5% for the next five years and greater than or equal to zero and less than or equal to 6% for the final five years.

The payout at maturity will be par.

Morgan Stanley & Co. LLC will act as distributor for the notes.

The notes will price May 17.

The Cusip number is 22548Q6L4.

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