Credit Suisse plans contingent coupon autocallable notes on indexes

By Devika Patel

Knoxville, Tenn., Oct. 1 – Credit Suisse AG, London branch, plans to price contingent coupon autocallable yield notes due May 5, 2021 linked to the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an expected annual rate of at least 7.25% if each index closes at or above its coupon barrier level, 60% of the initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if, on April 30, 2020, July 31, 2020, Nov. 2, 2020 or Feb. 2, 2021, the closing level of each of the indexes is greater than its initial level.

The payout at maturity will be par unless any of the indexes close below its 70% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level or receive par if the index is flat or finishes above its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22552FZV7) are expected to price Oct. 31 and settle Nov. 5.

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