Credit Suisse plans 11%-13% contingent coupon autocalls on two funds

By Susanna Moon

Chicago, June 12 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due July 6, 2020 linked to the worse performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 11% to 13% if each underlying asset closes at or above its 55% coupon barrier on each trading day for that quarter.

The notes are called at par if each fund closes at or above its initial level on any determination date beginning Jan. 2, 2019.

The payout at maturity will be par unless either underlying fund ever closes below its 55% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing fund.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on June 29.

The Cusip number is 22550WV38.

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