Credit Suisse plans contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., Oct. 12 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Jan. 31, 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 that is expected to fall between 5% and 7% and will be set at pricing, if each index closes at or above its barrier level, 65% of the initial level, on the observation date for that month.

The notes will be automatically called at par plus the contingent coupon if the closing level of both of the indexes is greater than their respective initial levels on April 25, 2017, July 26, 2017 or Oct. 26, 2017.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22549JCJ7) are expected to price Oct. 26 and settle Oct. 31.

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