Credit Suisse plans 6%-8% contingent coupon autocallable yield notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., Aug. 2 – Credit Suisse AG, London Branch plans to price 6% to 8% contingent coupon autocallable yield notes Feb. 18, 2020 linked to the lowest performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 6% to 8% if each index closes above its coupon barrier level, expected to be 70% of its initial level, on the observation date for that period. The exact coupon will be set at pricing.

The notes will be automatically called at par on any coupon payment date starting Nov. 16, 2018 and before maturity if both indexes close at or above their initial level on the observation date for that quarter.

The payout at maturity will be par unless either index closes below its knock-in level, expected to be 70% of its initial level, on any day during the life of the notes in which case investors will lose 1% for each 1% decline of the worse performing index from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on Aug. 13 and settle on Aug. 16.

The Cusip number is 22550BVP5.

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