Credit Suisse plans contingent coupon autocallables on three indexes

By Toni Weeks

San Luis Obispo, Calif., July 24 – Credit Suisse AG plans to price contingent coupon autocallable yield notes due July 31, 2019 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 8.4% if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that period.

The notes will be called at par plus the contingent coupon on any quarterly interest payment date beginning Oct. 28 if each index closes at or above its initial level.

If the notes are not called, the payout at maturity will be par unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The exact terms will be set at pricing.

The notes (Cusip: 22547QR24) are expected to price July 29 and settle July 31.

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