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Credit Suisse plans contingent coupon autocallables tied to indexes
By Susanna Moon
Chicago, Dec. 5 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 5, 2018 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 annualized rate of 5.5% to 7.5% if each underlying index closes at or above its coupon barrier level, 60% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.
The notes will be called at par if each index finishes at or above its initial level on any call date.
The payout at maturity will be par unless either index closes below its 60% knock-in level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on Dec. 30 and settle on Jan. 5.
The Cusip number is 22548QPD1.
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