Credit Suisse plans contingent coupon autocallables on Russell, S&P

By Susanna Moon

Chicago, Oct. 27 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due March 5, 2018 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 8% to 10% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that month.

The notes will be 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 closes below its 70% knock-in level on any day during the life of the notes, 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 agent.

The notes will price on Nov. 30 and settle on Dec. 5.

The Cusip number is 22548QLS2.

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