Credit Suisse plans 10%-12% contingent rate autocalls on index, fund

By Susanna Moon

Chicago, Nov. 21 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due May 30, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 10% to 12% if each underlying component closes at or above its 70% coupon barrier on the observation for that quarter.

The notes will be called at par if each component closes above its initial level on any quarterly review date after six months.

The payout at maturity will be par the contingent coupon unless either underlying component ever closes below its 70% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index or fund.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Nov. 27 and settle on Nov. 30.

The Cusip number is 22550BN66.

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