Credit Suisse plans contingent income autocallables linked to ETFs

By Angela McDaniels

Tacoma, Wash., June 18 – Credit Suisse AG, London Branch plans to price autocallable contingent income securities due Dec. 23, 2021 linked to the worst performing of the SPDR S&P 500 exchange-traded fund, the SPDR Dow Jones Industrial Average ETF Trust and the Utilities Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 9% per year if each ETF closes at or above its downside threshold level, 75% of its initial share price, on each day during that quarter.

Beginning Dec. 19, 2019, the notes will be automatically called at par of $10 plus the contingent coupon if each ETF closes at or above its initial share price on any quarterly observation date.

If each ETF finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon, if applicable. If any ETF finishes below its downside threshold level, investors will lose 1% for every 1% that the worst-performing ETF declines from its initial share price.

Credit Suisse Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.

The notes will price June 19.

The Cusip number is 22550F591.

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