Credit Suisse plans contingent coupon autocallables on S&P, Russell

By Devika Patel

Knoxville, Tenn., Feb. 21 – Credit Suisse AG, London branch, plans to price contingent coupon autocallable yield notes due Aug. 27, 2019 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 expected annual rate of 9.25% if each index closes 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 callable at par plus any contingent coupon on any quarterly redemption date beginning on May 23 if the closing levels of both indexes are greater than their respective initial levels.

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 1% for each 1% decline of the worse performing index from its initial level or receive par if the worse performing index finishes above its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WF36) are expected to price Feb. 22 and settle Feb. 27.

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