Credit Suisse eyes contingent coupon autocallable yield notes on indexes

By Wendy Van Sickle

Columbus, Ohio, March 21 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Sept. 28, 2020 linked to the lowest performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 10.1% if each index closes above its coupon barrier level, expected to be 70% of its initial level, on the observation date for that period.

The notes will be automatically called at par on any quarterly observation date if each index closes at or above its initial level on the observation date for that quarter.

The payout at maturity will be par unless any index finishes below its initial level and any index ever closes below its knock-in level, expected to be 70% of its initial level, on any day 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.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on March 22.

The Cusip number is 22552F3Q3.

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