Credit Suisse plans contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., March 26 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due July 2, 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 annual rate of 8.25% to 10.25% if each index closes at or above its coupon barrier level, expected to be 70% of the initial level, on the observation date for that quarter. The exact coupon and coupon barrier level will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the closing level of both of the indexes is greater than their respective initial levels on Sept. 27, 2018, Dec. 27, 2018 or March 28, 2019.

The payout at maturity will be par unless either index closes below its expected 70% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index or receive par if the index gains. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WGH4) are expected to price March 28 and settle April 2.

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