Credit Suisse plans fixed-to-contingent coupon notes on indexes

By Marisa Wong

Morgantown, W.Va., May 24 – Credit Suisse AG, London Branch plans to price fixed-to-contingent step-down coupon callable yield notes due May 28, 2027 linked to the lowest performing of 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.

Interest is payable quarterly. The coupon rate is 12% per year for the first quarter. Beginning Aug. 31, the notes will pay a coupon at an annualized rate only if each index closes at or above its 75% coupon barrier on the observation date for that quarter. The contingent coupon rate will be 12% initially, stepping down to 11% on May 31, 2018 and to 10% on May 31, 2019.

The notes will be callable at par on any interest payment date after one year.

The payout at maturity will be par unless any index finishes below its 72.5% knock-in level, in which case investors will have full exposure to the decline of the least-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price May 25.

The Cusip number is 22550B4M2.

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