Credit Suisse plans 10.5% contingent income autocalls on two stocks

By Sarah Lizee

Olympia, Wash., Jan. 30 – Credit Suisse AG, London branch plans to price autocallable contingent income securities due Feb. 4, 2022 linked to the worst performing of the American Depositary Shares of Itaú Unibanco Holding SA and Vale SA, according to a 424B2 with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 10.5% if each stock closes at or above its 50% coupon barrier on the quarterly determination date.

The notes will be called at par plus the contingent coupon if each stock closes at or above its initial level on any call review date after May 1.

The payout at maturity will be par plus the coupon unless either stock finishes below its 50% downside threshold, in which case investors will be fully exposed to any losses of the worse performing stock.

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

The notes are expected to price on Feb. 1.

The Cusip number is 22549Y602.

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