Credit Suisse to price contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., Dec. 28 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due April 30, 2020 linked to the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an expected annual rate of between 9% and 11% if each index closes at or above its coupon barrier level, which is expected to be 70% of the initial level and will be set at pricing, on the observation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if the closing level of each of the indexes is greater than their respective initial levels on July 26, 2019, Oct. 28, 2019 or Jan. 28, 2020.

A knock-in event will occur if either index closes below its knock-in level, which is expected to be about 70% of the initial level and will be set at pricing, on any trading day during life of the notes.

The payout at maturity will be par unless a knock-in event occurred, in which case, investors will lose 1% for each 1% decline of the worst-performing index from its initial level or receive par if the worst performer is flat or gains.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22551LR36) are expected to price Jan. 28 and settle Jan. 31.

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