Credit Suisse plans contingent coupon Bares linked to two funds

By Marisa Wong

Morgantown, W.Va., Aug. 17 – Credit Suisse AG plans to price contingent coupon Buffered Accelerated Return Equity Securities due Aug. 26, 2021 linked to the United States Oil Fund, LP and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

If both funds close at or above their coupon barrier levels on a quarterly observation date, the notes will pay a contingent coupon that quarter at a rate of 4% per year. The coupon barrier level will be about 70% of the initial level.

The payout at maturity will be par plus the underlying return of the lower performing fund.

For each fund, if the final level is greater than or equal to the initial level, the underlying return will be 155% times the fund gain. If the fund falls by up to 30%, the underlying return will be zero. If the fund falls by more than 30%, the underlying return will be 142.857% times the sum of fund return plus the 30% buffer.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on Aug. 21 and settle on Aug. 26.

The Cusip number is 22546VK88.

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