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Credit Suisse plans contingent coupon autocallable notes on indexes
By Susanna Moon
Chicago, April 10 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Aug. 3, 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 monthly coupon at an annual rate of 5% to 7% if each index closes at or above its knock-in level, 60% of the initial level, on the observation date for that month. The exact coupon will be set at pricing.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on Oct. 31, 2017 or April 30, 2018.
The payout at maturity will be par unless either index closes below its 60% knock-in level 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 April 28 and settle on May 3.
The Cusip number is 22548QYP4.
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