Credit Suisse plans contingent coupon reverse convertibles on Facebook

By Devika Patel

Knoxville, Tenn., Dec. 27 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable reverse convertible securities due April 8, 2019 linked to the class A common stock of Facebook, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 7.15% if the stock closes at or above its expected 70% coupon barrier level on an observation date for that month. The exact coupon barrier level will be set at pricing.

The notes will be called at par if the shares close at or above the initial level on July 3, 2018, Oct. 4, 2018 or Jan. 3, 2019.

The payout at maturity will be par unless the shares finish below the initial level and close below the expected 70% knock-in level on any day during the life of the notes, in which case investors will receive a number of Facebook shares equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares. The exact knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22549JNC0) will price on Jan. 3 and settle on Jan. 8.

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