Credit Suisse plans contingent coupon autocallables on two indexes

By Marisa Wong

Madison, Wis., March 5 – Credit Suisse AG plans to price contingent coupon autocallable yield notes due March 31, 2025 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 8% per year and will be set at pricing.

The notes will be called at par plus accrued interest if each component closes at or above its trigger level on any quarterly observation date. The trigger level is expected to be 100% of the initial level.

If the notes are not called, the payout at maturity will be par plus a fixed payment of 50% unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.

Incapital LLC is the placement agent.

The notes will price on March 26 and settle on March 31.

The Cusip number is 22546V6F8.

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