Credit Suisse plans autocallable contingent coupon notes on United

By Marisa Wong

Madison, Wis., June 30 – Credit Suisse AG plans to price autocallable contingent coupon yield notes due July 7, 2016 linked to the common stock of United Continental Holdings, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 10.25% to 11.25% if United Continental stock closes at or above the barrier price, 70% of the initial price, on the valuation date for that quarter. The exact coupon rate will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if United Continental shares close at or above the initial share price on any quarterly valuation date beginning on Oct. 2.

If the final share price is greater than or equal to the 70% knock-in price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will receive par plus the stock return, with full exposure to losses.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on July 2 and settle on July 7.

The Cusip number is 22546VGR1.

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