HSBC to price contingent income autocallables on S&P, Russell, Stoxx

By Devika Patel

Knoxville, Tenn., July 10 – Credit Suisse AG, London Branch plans to price autocallable contingent income securities due Jan. 16, 2020 linked to the worse performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon of 10.35% per year if each index closes at or above its coupon barrier level, 80% of its initial index level, on each day of that quarter.

Beginning Oct. 11, 2017, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date other than the final one.

If each index finishes at or above its downside threshold level, 75% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.

Credit Suisse Securities (USA) LLC is the agent, with Morgan Stanley Wealth Management handling distribution.

The notes (Cusip: 22550BCU5) will price on July 11 and settle on July 14.

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