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

By Devika Patel

Knoxville, Tenn., Sept. 26 – Credit Suisse AG, London branch plans to price contingent coupon callable yield notes due Nov. 3, 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 annualized rate of 9% to 11% if each underlying closes at or above its coupon barrier level, expected to be 60% of its initial level, on the observation date for that period. The exact coupon and coupon barrier level will be set at pricing.

The notes are callable in whole but not in part at par on any coupon payment date other than the maturity date beginning on May 3, 2018.

The payout at maturity will be par unless either of the underlyings finishes below its knock-in level, expected to be 60% of its initial level, in which case investors will lose 1% for each 1% decline of the worse performing underlying 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: 22550BJT1) are expected to price Oct. 31 and settle Nov. 3.

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