New Issue: Credit Suisse prices $2.44 million range accrual notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Oct. 2 – Credit Suisse AG, London Branch priced $2.44 million of callable daily range accrual securities due Sept. 30, 2030 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 8.1% per year multiplied by the proportion of days on which the index closes at or above the accrual barrier, 75% of the initial index level. Interest is payable monthly.

The payout at maturity will be par unless the index declines by more than 50%, in which case investors will lose 1% for every 1% that the index declines below its initial level.

Beginning Sept. 30, 2016, the notes will be callable at par on any interest payment date.

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:	$2,444,000
Maturity:	Sept. 30, 2030
Coupon:	8.1% per year multiplied by proportion of days on which index closes at or above accrual barrier; payable monthly
Price:	Par
Payout at maturity:	Par unless final index level is less than knock-in level, in which case full exposure to index’s decline
Call option:	At par on any interest payment date beginning Sept. 30, 2016
Initial index level:	1,931.34
Accrual barrier:	1,448.505, 75% of initial level
Knock-in level:	965.670, 50% of initial level
Pricing date:	Sept. 25
Settlement date:	Sept. 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4.3%
Cusip:	22546VM52

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