Credit Suisse plans contingent coupon autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Feb. 3 – Credit Suisse AG plans to price 0% autocallable contingent coupon buffered securities due Feb. 9, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, if no coupon barrier event occurs, the notes will pay a contingent coupon at the rate of 8% per year for that quarter and all prior quarters for which no contingent coupon was paid. If a coupon barrier event does occur, no coupon will be paid that quarter.

A coupon barrier event will occur if the closing level of either index is less than its coupon barrier level, expected to be 75% to 80% of the initial level, on the observation date for that quarter.

Beginning Feb. 6, 2018, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly observation date.

If the notes are not called and the final level of the lowest-performing index is at least 90% of its initial level, the payout will be par. Otherwise, investors will lose 1.1111% for every 1% that the lowest-performing index declines beyond 10%.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Feb. 4 and settle Feb. 9.

The Cusip number is 22546V4A1.

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