Credit Suisse plans contingent coupon autocallables tied to indexes

By Susanna Moon

Chicago, May 17 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Sept. 5, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 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 70% coupon barrier on the observation date for that month. The exact coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on Nov. 30, 2017, Feb. 28, 2018 or May 31, 2018.

The payout at maturity will be par unless either index ever 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 worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 31 and settle on June 5.

The Cusip number is 22550B2Y8.

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