Credit Suisse plans trigger autocallables on S&P 500, Russell 2000

By Marisa Wong

Morgantown, W.Va., May 23 – Credit Suisse AG, London Branch plans to price 0% trigger autocallable contingent yield notes due May 31, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 7% to 8% and will be set at pricing.

After six months, the notes will be automatically called at par of $10 if each index closes at or above its initial level on any quarterly observation date.

If the notes are not called and the final level of the lesser-performing index is greater than or equal to its downside threshold, 70% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index’s final level is less than its initial level.

UBS Financial Services Inc. is the distributor.

The notes will price on May 26 and settle on May 31.

The Cusip number is 22548R426.

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