Credit Suisse plans contingent coupon autocallables linked to indexes

By Tali Rackner

Norfolk, Va., Aug. 10 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Sept. 6, 2017 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 8% to 10% per year unless either index closes below its knock-in level, 70% of its initial level, on the observation date for that quarter. The exact contingent coupon rate will be set at pricing.

The notes will be automatically called at par if each index closes at or above its initial index level on March 1, 2017 or June 1, 2017.

The payout at maturity will be par unless either index finishes below its knock-in level on any day during the observation period, in which case investors will have one-to-one exposure to the decline of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Aug. 31 and settle on Sept. 6.

The Cusip number is 22548QD28.

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