Credit Suisse eyes contingent coupon autocallable yield notes on index, ETF

By Sarah Lizee

Olympia, Wash., March 7 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Sept. 29, 2020 linked to the lesser performing of the iShares MSCI Emerging Markets ETF and the Hang Seng China Enterprises index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at an annualized rate of 8.5% to 10.5% if each underlying asset closes at or above its 70% coupon barrier level on the related observation date.

The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date beginning on June 25.

The payout at maturity will be par unless either underlying asset ever closes below its 70% knock-in level on any day during the life of the notes, in which case investors will be fully exposed to any losses of the lesser performing asset.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 26.

The Cusip number is 22551LZZ6.

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