Credit Suisse plans high/low coupon autocallabless on S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, Feb. 4 – Credit Suisse AG, London Branch plans to price high/low coupon autocallable yield notes due Aug. 18, 2016 linked to 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 monthly coupon of at an annualized rate of 6% unless either index closes below 70% of its initial level on the observation date for that month, in which case the notes will pay a coupon at a rate of 1% per annum

The notes will be automatically called at par on any payment date if both indexes closes above their initial levels on the observation date for that month.

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 Feb. 12 and settle on Feb. 18.

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