Credit Suisse plans contingent coupon autocallable yield notes on S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, Jan. 6 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 12, 2018 linked to the lesser performing of 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 at an annual rate of 9.15% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.

The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.

The payout at maturity will be par unless either index finishes below its initial level and either index has closed below its 70% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 9 and settle on Jan. 12.

The Cusip number is 22548QSL0.

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