Credit Suisse plans contingent coupon autocallable notes on indexes, ETF

By Sarah Lizee

Olympia, Wash., Aug. 28 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Sept. 6, 2022 linked to the least performing of the S&P 500 index, the SPDR S&P Midcap 400 ETF Trust and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

Every quarter, the notes pay a contingent coupon at the rate of 10.55% to 11% per year if each asset closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.

The notes will be called at par plus the coupon if each asset closes at or above its initial level on any quarterly observation date.

The payout at maturity will be par plus the final coupon unless any asset finishes below 75% of its initial level in which case investors will be exposed to the decline of the least-performing asset from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Aug. 31.

The Cusip number is 22552WGM1.

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