Credit Suisse plans contingent coupon autocallable yield notes on S&P

By Sarah Lizee

Olympia, Wash., April 24 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 12, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter the notes will pay a contingent coupon at an annual rate of 7% if the index closes at or above the coupon barrier, 86.5% of the initial level, for that period, plus any previous coupons that were unpaid because a barrier event had occurred on their related observation dates.

The notes will be called at par plus the contingent coupon if index closes at or above its initial price on a quarterly trigger observation date.

The payout at maturity will be par unless the index closes below the 86.5% knock-in level, in which case investors will lose 1% for each 1% decline in the index from its initial level.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are placement agents.

The notes will price on April 25.

The Cusip number is 22552FC26.

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