Credit Suisse plans to price autocallable securities on index, ETF

By Sarah Lizee

Olympia, Wash., March 12 – Credit Suisse AG, London Branch plans to price 0% autocallable securities due March 29, 2023 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.

Credit Suisse will call the notes at par of $1,000 plus a call premium of 19.35% per year if the closing level of each asset is greater than or equal to its trigger level on any annual call date after one year.

The trigger level will be equal to 100% of the initial level.

If each asset finishes at or above its initial level, the payout at maturity will be $1,774 per $1,000 of notes.

Investors will receive par plus 10% if the final level of any asset is less than its initial level but each asset finishes at or above the knock-in level, 70% of its initial level.

Otherwise, investors will lose 1% for each 1% decline of the worst performing asset from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 22.

The Cusip is 22552F2R2.

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