Credit Suisse plans contingent coupon autocallable yield notes on indexes

By Jennifer Chiou

New York, Dec. 30 – Credit Suisse AG plans to price contingent coupon autocallable yield notes due Jan. 30, 2025 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 quarterly contingent coupon if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 7% per year and will be set at pricing.

The payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.

The notes will be automatically callable at par if each indexes closes at or above its initial level on any contingent coupon payment date beginning on Jan. 25, 2017.

The notes (Cusip: 22547QZ90) will price on Jan. 23 and settle on Jan. 30.

Credit Suisse Securities (USA) LLC is the agent.

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