Credit Suisse plans trigger phoenix autocallables on two indexes

By Marisa Wong

Madison, Wis., Sept. 3 – Credit Suisse AG plans to price trigger phoenix autocallable optimization securities due Sept. 18, 2024 linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index closes at or above its coupon barrier, 70% of its initial level, on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 7.35% to 7.85% per year. Otherwise, no coupon will be paid that quarter. The exact rate will be set at pricing.

Beginning after one year, the notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.

If the notes are not called and each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon. If either index finishes below the 70% barrier but each index finishes at or above the trigger level, 50% of the initial level, the payout will be par. If either index finishes below the 50% trigger level, investors will be exposed to the decline of the worst-performing index from its initial level.

UBS Financial Services Inc. will act as distributor.

The notes will price on Sept. 12 and settle on Sept. 17.

The Cusip number is 22547T175.

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