Credit Suisse plans callable contingent income notes on three indexes

By Marisa Wong

Morgantown, W.Va., May 23 – Credit Suisse AG, London Branch plans to price callable contingent income securities due Nov. 30, 2020 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 9.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on every trading day that quarter.

If the lowest-performing index finishes at or above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the final coupon. If the lowest-performing index finishes below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index from its initial level.

The notes will be callable at par on any contingent coupon payment date.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is distributor.

The notes will price on May 24.

The Cusip number is 22550WVK0.

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