Credit Suisse plans contingent coupon callable yield notes on indexes

By Devika Patel

Knoxville, Tenn., July 17 – Credit Suisse AG, London Branch, plans to price contingent coupon callable yield notes due July 31, 2024 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 expected annualized rate of 6.5% if each index closes above its coupon barrier level, expected to be 65% of its initial level, on the observation date for that quarter. The exact coupon and barrier will be set at pricing.

The notes are callable in whole but not in part at par on any quarterly call date before the maturity date beginning Oct. 31, 2017.

The payout at maturity will be par unless either of the indexes finishes below its knock-in level, expected to be 60%, in which case investors will lose 1% for each 1% decline of the worse performing index from its initial level. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550BCT8) are expected to price July 26 and settle July 31.

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