Credit Suisse to price contingent coupon autocallable reverse convertible linked to two ETFs

By Emma Trincal

New York, Sept. 25 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable reverse convertible securities due Sept. 28, 2021 linked to the least performing of the SPDR S&P Homebuilders exchange-traded fund and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly at an annualized rate of 12.2% if each ETF closes at or above its coupon barrier, 75% of its initial level, on the related observation date.

The notes will be called at par if the least performing fund closes at or above its initial price on any quarterly observation date.

If the notes are not called, the payout at maturity will be par unless any ETF finishes below its 75% knock-in level, in which case investors will receive a number of shares of the least performing fund 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.

Credit Suisse Securities (USA) LLC is the agent.

The notes priced on Sept. 23 and will settle Sept. 28.

The Cusip number is 22550MKJ7.

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