Credit Suisse eyes contingent coupon autocallable yield notes on three indexes

By Sarah Lizee

Olympia, Wash., May 3 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Nov. 13, 2020 linked to the lowest performing of the S&P 500 index, the Dow Jones industrial average 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 9% 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.

A knock-in event will occur if, on any day during the life of the notes, any index closes below 70% of its initial level.

If a knock-in event has not occurred, the payout at maturity will be par.

If a knock-in event has occurred, the payout will be par plus the return of the least performing index, subject to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on May 8.

The Cusip number is 22552FEA6.

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