Credit Suisse plans contingent coupon autocallables on indexes, ETF

New York, May 12 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 30, 2019 linked to the lowest performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7.75% to 8.75% if each underlying closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if each underlying closes at or above its initial level on Feb. 23, 2018, May 24, 2018, Aug. 27, 2018, Nov. 27, 2018 and Feb. 25, 2019.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 24 and settle on May 30.

The Cusip number is 22550B4H3.

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