Credit Suisse plans contingent coupon callable notes on index, fund

By Susanna Moon

Chicago, Dec. 5 – Credit Suisse AG, London Branch plans to price contingent coupon callable yield notes due Jan. 6, 2020 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 11% to 13% if each underlying component 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 are callable at par on any coupon payment date beginning July 5, 2017.

The payout at maturity will be par unless either component finishes below its 60% knock-in level, in which case investors will lose 1% for each 1% decline of the worse performing component.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Dec. 30 and settle on Jan. 5.

The Cusip number is 22548QPH2.

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