Credit Suisse eyes contingent coupon autocallables linked to two ETFs

By Devika Patel

Knoxville, Tenn., July 2 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due Aug. 3, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production 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 11% and 13% per year unless either ETF closes below its coupon barrier level, expected to be 55% of its initial level, on the observation date for that quarter. The exact coupon and coupon barrier level will be set at pricing.

Beginning Jan. 30, 2019 and ending April 29, 2020, 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 expected 55% 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 worst performing ETF return is flat or positive. The knock-in level will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WYV3) are expected to price July 31 and settle Aug. 3.

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