Credit Suisse plans contingent coupon autocallable yield notes on indexes

By Tali Rackner

Norfolk, Va., July 18 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Aug. 3, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon if each index closes at or above its barrier level, roughly 70% of the initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 8.25% to 10.25% per year and will be set at pricing.

The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.

The notes will be automatically called at par if each index closes at or above its initial level on any quarterly trigger observation date.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on July 29 and settle on Aug. 3.

The Cusip number is 22548QBP9.

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