Credit Suisse plans trigger autocallable contingent yield notes on indexes

By Sarah Lizee

Olympia, Wash., Oct. 4 – Credit Suisse AG, London Branch plans to price trigger autocallable contingent yield notes due Oct. 8, 2020 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 7.5% to 7.8% if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

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

The payout at maturity will be par plus any coupon unless either index finishes below the 80% downside threshold level, in which case investors will lose 1% for each 1% decline of the worse performing index from its initial level.

UBS Financial Services Inc. is the agent.

The notes will price on Oct. 5.

The Cusip number is 22549R482.

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