Credit Suisse plans contingent coupon autocallable reverse converts on stocks

By Sarah Lizee

Olympia, Wash., May 7 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable reverse convertible securities due May 31, 2022 linked to the worst performing of the common stocks of Amazon.com, Inc., Facebook, Inc., Alphabet Inc. and Netflix, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 16.5% if each stock closes at or above its expected 65% coupon barrier level on an observation date for that period. The exact coupon and coupon barrier level will be set at pricing.

The notes will be automatically called at par plus the coupon if each stock closes at or above its respective initial level on any quarterly trigger observation date starting Nov. 26.

The payout at maturity will be par unless the worst performing stock finishes below its expected 65% knock-in level, in which case investors will receive a number of shares of the worst performing stock 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: 22549JR44) will price on May 29.

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