Credit Suisse plans contingent coupon autocalls on S&P 500, Russell

By Susanna Moon

Chicago, Sept. 7 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due April 3, 2020 linked to the lesser performing of 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 quarterly coupon at an annual rate of 5.5% to 7.5% if each index closes at or above its 60% coupon barrier on the observation date for that quarter.

The notes are called at par if each index closes at or above its initial level on any determination date after six months.

The payout at maturity will be par unless either underlying index ever closes below its 60% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Sept. 28.

The Cusip number is 22551L6N5.

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