Credit Suisse plans 10.05% contingent income autocalls on indexes

By Susanna Moon

Chicago, Oct. 10 – Credit Suisse AG, London branch plans to price autocallable contingent income securities due April 15, 2021 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 10.05% if each index closes at or above its 75% coupon barrier on the quarterly determination date.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any call review date after six months.

The payout at maturity will be par plus the coupon unless any index finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on Oct. 11.

The Cusip number is 22551LFD7.

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