Credit Suisse to sell contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., Oct. 6 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Jan. 14, 2019 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 6.57% if each index closes at or above its coupon barrier level, 75% of the initial level, on the observation date for that month.

The notes will be automatically called at par plus the contingent coupon if the closing level of both of the indexes is greater than their respective initial levels on Jan. 10, 2018, April 10, 2018, July 10, 2018 or Oct. 10, 2018.

The payout at maturity will be par unless either index closes below its 75% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index or receive par if the index return of the worst performer is positive or flat.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550BLC5) are expected to price Oct. 10 and settle Oct. 13.

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