Credit Suisse eyes callable contingent income notes on three indexes

By Sarah Lizee

Olympia, Wash., July 30 – Credit Suisse AG, London Branch plans to price callable contingent income securities due Aug. 3, 2022 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 11.4% if each index closes at or above its 70% coupon barrier level on the observation date for that quarter.

The notes may be called, in whole but not in part, at par plus any contingent coupon at the issuer’s discretion beginning in November on any quarterly contingent coupon payment date.

The payout at maturity will be par plus the coupon, unless the final level of the worst performing index is less than 70% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is a dealer.

The notes will price on July 31.

The Cusip number is 22552FRA2.

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