Credit Suisse plans contingent coupon callable yield notes on funds

By Susanna Moon

Chicago, Jan. 21 – Credit Suisse AG, London Branch plans to price contingent coupon callable yield notes due Jan. 25, 2018 linked to the lesser performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon of 8.75% annualized if each fund closes at or above its barrier level, 70% of the initial level, on any quarterly observation date.

The notes will be callable at par plus the contingent coupon on any interest payment date after one year.

The payout at maturity will be par unless any fund finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worst performing component.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 22 and settle on Jan. 29.

The Cusip number is 48127D6Q6.

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