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

By Marisa Wong

Morgantown, W.Va., May 13 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 28, 2021 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 contingent quarterly coupon at an annual rate of 6% to 7% if each index closes at or above its barrier level, expected to be about 70% of the initial level, on the observation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date beginning May 25, 2017.

The payout at maturity will be par unless either index finishes below its 70% knock-in level, 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 (Cusip: 22548Q5X9) are expected to price on May 25 and settle on May 31.

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