Credit Suisse plans contingent coupon autocallables on S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, April 15 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 3, 2021 linked to 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 contingent quarterly coupon at an annual rate of 6% to 6.5% if each index closes at or above its barrier level, expected to be about 63% of the initial level, on the observation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if the closing level of each of the indexes is greater than their initial levels on any interest payment date on or after April 30, 2018.

The payout at maturity will be par unless any of the indexes finishes at or below its 63% expected knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.

Credit Suisse is the agent.

The notes (Cusip: 22548Q4E2) are expected to price on April 28 and settle on May 3.

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