Credit Suisse plans contingent coupon autocallables on Stoxx, Russell

By Susanna Moon

Chicago, Dec. 28 – Credit Suisse AG, London branch plans to price 0% contingent coupon autocallable yield notes due April 30, 2018 linked to the performance of the lesser performing of the Euro Stoxx 50 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 8.25% to 10.25% if each index closes at or above its coupon barrier, 70% of the initial level, on the observation date for that month.

The notes will be called at par plus the contingent coupon if each index closes above its initial level on any review date.

The payout at maturity will be par unless either index ever closes below its 70% knock-in level 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. 26 and settle on Jan. 31.

The Cusip number is 22548QRP2.

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