Credit Suisse to price contingent income autocallables on indexes

By Sarah Lizee

Olympia, Wash., Feb. 25 – Credit Suisse AG, London Branch plans to price contingent income autocallable securities due Sept. 2, 2021 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7.4% if each index closes at or above its 70% coupon barrier on the observation date for that quarter.

The notes will be called at par if each index closes at or above its initial level on any quarterly review date other than the final one.

The payout at maturity will be par unless any underlying index finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes will price on Feb. 28.

The Cusip number is 22551LYL8.

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