Credit Suisse plans contingent income autocallables on three indexes

By Devika Patel

Knoxville, Tenn., Jan. 26 – Credit Suisse AG plans to price autocallable contingent income securities due Jan. 30, 2020 linked to the worse performing of the Nikkei 225 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at a rate of 9.9% per year if each index closes at or above its coupon barrier level, 70% of its initial index level, on each day of that quarter.

Beginning July 27, 2017, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final one.

If each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.

Credit Suisse International is the agent.

The notes (Cusip: 22548QTB1) will price on Jan. 27 and settle on Feb. 1.

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