Credit Suisse plans contingent coupon buffered autocallables tied to Russell 2000, Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., Feb. 12 - Credit Suisse AG plans to price autocallable contingent coupon buffered securities due Feb. 22, 2022 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 8% per year, payable quarterly. Interest will only be paid if each index closes above the contingent coupon barrier level, 65% of the initial level, on the observation date for that period.

The notes will be automatically called at par if the closing level of each index is at or above its initial level on any quarterly observation date beginning Feb. 15, 2017.

If the final level of each index is at least 90% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1.1111% for every 1% decline in the least-performing index beyond the 10% buffer.

The notes (Cusip: 22547QJ23) are expected to price Feb. 14 and settle Feb. 20.

Credit Suisse Securities (USA) LLC is the agent.

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