Credit Suisse plans contingent yield trigger autocallables on indexes

By Marisa Wong

Morgantown, W.Va., Oct. 6 – Credit Suisse AG, London Branch plans to price trigger autocallable contingent yield notes due Oct. 13, 2020 linked to the Russell 2000 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index closes at or above its coupon barrier, 70% of its initial level, on a quarterly observation date, the notes will pay a contingent coupon for that quarter at an annual rate of 9.5% to 10.5%. The exact coupon rate will be set at pricing.

After six months, the notes will be called at par if each index closes at or above its initial level on any quarterly observation date other than the final one.

The payout at maturity will be par unless either index finishes below the downside threshold level, 70% of the initial level, in which case investors will lose 1% for every 1% decline of the worse performing index from its initial level.

Credit Suisse Securities (USA) LLC and UBS Financial Services Inc. are the agents.

The notes are expected to price on Oct. 9.

The Cusip number is 22549D384.

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