Credit Suisse plans high/low coupon autocallables tied to two indexes

By Susanna Moon

Chicago, July 27 – Credit Suisse AG plans to price high/low coupon callable yield notes due Feb. 6, 2017 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if either underlying index ever closes at or below its 75% knock-in level during any observation period.

The coupon will be 11.5% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. Interest will be payable quarterly. The exact coupon rate will be set at pricing.

The notes will be called at par if each index closes at or above the initial level on any interest payment date.

The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worse performing index, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on July 31 and settle on Aug. 5.

The Cusip number is 22546VHP4.

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