Credit Suisse plans contingent coupon autocallables on S&P, Russell

By Devika Patel

Knoxville, Tenn., Oct. 9 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 21, 2021 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon, at an annual rate that is expected to be at least 7.25% and will be set at pricing, if each index closes at or above its coupon barrier level, 70% of the initial level, on the observation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if the closing level of both of the indexes is greater than their respective initial levels on any quarterly observation date beginning on Jan. 15, 2020 and ending on Jan. 15, 2021.

The payout at maturity will be par unless either index closes 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 or receive par if the worst performer gains or remains flat.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22551N2H8) are expected to price Oct. 16 and settle Oct. 21.

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