Credit Suisse plans 10.75%-12.75% contingent coupon autocalls tied to Russell, oil fund

By Susanna Moon

Chicago, Jan. 8 – Credit Suisse AG, London Branch plans to price contingent coupon callable yield notes due Aug. 5, 2019 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund 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 10.75% to 12.75% if each underlying component closes at or above its 65% coupon barrier on an observation date for that quarter.

The notes will be called at par if each component closes at or above its initial level on any quarterly call date after six months.

The payout at maturity will be par unless either component ever closes below its 65% knock-in level during the life of the notes, in which case the payout will be par plus the return with full exposure to any losses of the worse performing index or fund up to a maximum payment of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 31 and settle on Feb. 5.

The Cusip number is 22550W3N5.

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