Credit Suisse plans high/low coupon autocallables tied to two indexes

By Susanna Moon

Chicago, Aug. 31 – Credit Suisse AG plans to price high/low coupon callable yield notes due April 5, 2017 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if either underlying index ever closes at or below its 70% knock-in level during any observation period.

The coupon will be 10% to 12% unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. Interest will be payable quarterly. The exact coupon rate will be set at pricing.

The notes are callable at par on any interest payment date beginning Jan. 5, 2016.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worse performing index, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on Sept. 30 and settle on Oct. 5.

The Cusip number is 22546VL95.

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