Credit Suisse to price contingent income autocallables on three ETFs

By Sarah Lizee

Olympia, Wash., Nov. 21 – Credit Suisse AG, London Branch plans to price autocallable contingent income securities due Dec. 2, 2020 linked to the least performing of the SPDR S&P Biotech ETF, the SPDR S&P Bank ETF and the Technology Select Sector SPDR fund, according to a 424B2 filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 15% if each ETF closes at or above its coupon barrier level, 69.5% of its initial index level, on the observation date that quarter.

The notes will be automatically called at par of $1,000 plus the contingent coupon if each ETF closes at or above its initial level on any quarterly observation date other than the final one.

If each ETF finishes at or above its downside threshold level, 69.5% of its initial level, the payout at maturity will be par plus the final contingent coupon.

If any ETF finishes below its downside threshold level, investors will have full exposure to the losses of the least performing ETF.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Nov. 27.

The Cusip number is 61768DRT4.

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