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Published on 5/4/2015 in the Prospect News Structured Products Daily.

Credit Suisse plans high/low coupon callable notes on two indexes

By Susanna Moon

Chicago, May 4 – Credit Suisse AG plans to price high/low coupon callable yield notes due Dec. 5, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying component falls to or below its knock-in level during any quarterly observation period. The knock-in level is expected to be 67.5% to 72.5% of the initial level and will be determined at pricing.

If a knock-in event never occurs, the coupon will be 9%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable quarterly.

The notes are callable on any interest payment date beginning on Sept. 5, 2015.

The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst performing component, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 29 and settle on June 3.

The Cusip number is 22546VCM6.


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