Credit Suisse plans contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., March 15 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due June 29, 2018 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 7.5% to 9.5% if each index closes at or above its knock-in level, 70% 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 Sept. 26, 2017, Dec. 22, 2017 or March 27, 2018.

The payout at maturity will be par unless either index closes below its 70% knock-in level during the life of the notes, in which case investors will lose or gain 1% for each 1% decline or gain of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22548QVU6) are expected to price March 28 and settle March 31.

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