Credit Suisse to sell contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., Oct. 24 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due Oct. 31, 2022 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 quarterly coupon at an expected annual rate of 7% if each index closes at or above its coupon barrier level, expected to be 70% of the initial level, on the observation date for that quarter. The exact coupon and coupon barrier level will be set at pricing.

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 any quarterly trigger observation date beginning on Oct. 26, 2018 and ending on July 26, 2022.

The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing index. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550BL68) are expected to price Oct. 26 and settle Oct. 31.

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