Credit Suisse eyes autocallable securities tied to S&P, Euro Stoxx

Chicago, Jan. 2 – Credit Suisse AG, London Branch plans to price 0% autocallable securities due Feb. 5, 2024 linked to the lowest performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annual premium of between 11.5% and 13.5% if each underlying index closes at or above the applicable trigger level on the relevant trigger observation date: 100% of its initial level on Jan. 31, 2020, 95% of its initial level on Feb. 2, 2021, 90% of it is initial level on Feb. 2, 2022 and 85% of its initial level on Feb. 1, 2023. The exact premium will be set at pricing.

If each index finishes at or above its 80% threshold level, the payout at maturity will be par plus a contingent return of between 57.5% and 67.5%, to be determined at pricing. If the final level of the lowest-performing index closes below 80% of its initial level but at or above 60% of its initial level, investors will receive par. Otherwise, investors will lose 1% for each 1% decline of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 31 and settle on Feb. 5.

The Cusip number is 22551LSA9.

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