Credit Suisse eyes contingent coupon callable yield note on index, ETF

By Wendy Van Sickle

Columbus, Ohio, June 22 – Credit Suisse AG, London Branch plans to price contingent coupon callable yield notes due July 6, 2020 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an expected annualized rate of 9.5% to 11.5% if each underlying closes at or above its coupon barrier level, between 60% of its initial level, on the observation date for that period.

Beginning on Jan. 8, 2018, the notes are callable in whole but not in part at par on any coupon payment date other than the maturity date.

The payout at maturity will be par unless either of the underlyings finishes below its knock-in level, 60% of its initial level, in which case investors will lose 1% for each 1% decline of the worse-performing underlying. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550B6A6) are expected to price June 30 and settle July 6.

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