Credit Suisse plans contingent coupon autocallables linked to indexes

By Marisa Wong

Morgantown, W.Va., June 29 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due July 7, 2021 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 7% to 8% per year unless either index closes below its coupon barrier level, 60% of its initial level, on the observation date for that quarter. The exact contingent coupon rate will be set at pricing.

Beginning July 3, 2017, the notes will be automatically called at par if each index closes at or above its initial index level on any quarterly observation date.

The payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price July 1.

The Cusip number is 22548QBY0.

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