Credit Suisse eyes contingent coupon autocallable notes on ETF, index

By Devika Patel

Knoxville, Tenn., March 27 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due July 2, 2019 linked to the iShares MSCI EAFE exchange-traded fund and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate expected to fall between 9% and 11% if each underlying closes at or above its coupon barrier level, 75% of the initial level, on each trading date of that month. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the closing level of both of the underlyings is greater than their respective initial levels on Sept. 27, 2018, Dec. 21, 2018 or March 28, 2019.

The payout at maturity will be par unless either underlying closes below its 75% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing underlying or receive par if the return of the worst performer is positive or flat.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WHA8) are expected to price March 28 and settle April 2.

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