Credit Suisse plans callable daily range accrual notes on two indexes

By Marisa Wong

Madison, Wis., Aug. 6 - Credit Suisse AG plans to price callable daily range accrual securities due Aug. 29, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10.25% per year multiplied by the proportion of days during an observation period on which each index closes at or above its accrual barrier, 75% of the initial index level. Interest is payable quarterly.

A knock-in event will occur if the final index level of either index is less than the knock-in level, which will be about 50% of the initial index level and will be set at pricing.

If a knock-in event occurs, the payout at maturity will be par plus the index return of the lowest-performing index, with full exposure to losses. Otherwise, the payout will be par.

After one year, the notes will be callable at par on any interest payment date.

The notes (Cusip: 22547Q7B6) are expected to price Aug. 26 and settle Aug. 29.

Credit Suisse Securities (USA) LLC is the agent.

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