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

By Susanna Moon

Chicago, Aug. 5 – Credit Suisse AG, London Branch plans to price high/low coupon callable yield notes due Aug. 13, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange.

A knock-in event occurs if either index closes below its knock-in level, 60% of its initial level, on any day during any observation period.

The notes will pay a coupon at an annualized rate of 9% unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%. Interest is payable quarterly.

The notes may be called at par on any coupon payment date beginning Feb. 13, 2017.

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 index, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Aug. 9 and settle on Aug. 12.

The Cusip number is 22548QDU6.

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