Credit Suisse plans to price callable contingent income notes on indexes

By Sarah Lizee

Olympia, Wash., April 8 – Credit Suisse AG, London Branch plans to price callable contingent income securities due Oct. 15, 2021 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 6.65% if each index closes at or above its 60% coupon barrier level on every trading day during an observation period for that quarter.

The notes may be called, in whole but not in part, at par plus any contingent coupon at the issuer’s discretion beginning in June on any quarterly contingent coupon payment date.

The payout at maturity will be par plus the coupon, if applicable, unless the final level of the worst performing index is less than 60% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.

Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes will price on April 12.

The Cusip number is 22552FA77.

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