Credit Suisse plans contingent coupon autocallables linked to two ETFs

By Devika Patel

Knoxville, Tenn., July 7 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Jan. 31, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech exchange-traded 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 between 9% and 11% per year unless either ETF closes below its coupon barrier level, 50% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

Beginning Jan. 26, 2018 and ending Oct. 28, 2019, the notes will be automatically called at par if both ETFs close at or above their respective initial levels on a quarterly redemption date.

The payout at maturity will be par unless either ETF closes below its 50% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing ETF or receive par if the index return is flat or positive.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550BBR3) are expected to price July 26 and settle July 31.

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