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Credit Suisse plans 0% two-year autocallables linked to two indexes
By Susanna Moon
Chicago, Dec. 28 – Credit Suisse AG, London branch plans to price 0% autocallable securities due Jan. 31, 2019 linked to the performance of the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 9.5% to 11.5% if each index closes at or above its initial level on any review date.
If each index finishes at or above its initial level, the payout at maturity will be par plus a contingent maximum return of 19% to 23%.
If either index falls but never closes below the 70% knock-in level during the life of the notes, the payout will be par plus the contingent minimum return of 10%.
Otherwise, investors will be fully exposed any losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on Jan. 26 and settle on Jan. 31.
The Cusip number is 22548QRS6.
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