Credit Suisse eyes contingent coupon autocallables tied to indexes

By Devika Patel

Knoxville, Tenn., March 26 – Credit Suisse AG, London branch, plans to price contingent coupon autocallable yield notes due April 2, 2019 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate that is expected to fall between 9.25% and 11.25% if each index closes above its coupon barrier level, expected to be 70% of its 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 levels of all the indexes are greater than their respective initial levels on Sept. 27, 2018 or Dec. 21, 2018

The payout at maturity will be par unless any index closes below its expected 70% knock-in level during the life of the notes and any index finishes below its initial level, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WGF8) are expected to price March 28 and settle April 2.

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