Credit Suisse plans contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., March 23 – Credit Suisse AG, London branch, plans to price contingent coupon autocallable yield notes due March 31, 2020 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 8% if each index closes at or above its knock-in level, 75% of the initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the closing level of each index is greater than or equal to its respective initial level on any quarterly redemption date starting on Sept. 26, 2017.

The payout at maturity will be par unless either index finishes below its 75% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22548QVZ5) are expected to price March 28 and settle March 31.

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