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

By Sarah Lizee

Olympia, Wash., Nov. 22 – Credit Suisse AG, London Branch, plans to price contingent coupon autocallable yield notes due Feb. 26, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at the rate of 6% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.

The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months.

The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its 75% knock-in level during the life of the notes, in which case investors will be exposed to the decline of the lesser-performing index from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Nov. 25.

The Cusip number is 22551N5V4.

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