Credit Suisse plans contingent coupon autocallables tied to two funds

By Susanna Moon

Chicago, Aug. 15 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Feb. 28, 2020 linked to the lesser performing of SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a monthly contingent coupon at an annual rate of 9% to 11% if each fund closes at or above its 50% coupon barrier on the observation date for that month.

The notes will be called at par if each fund closes at or above its initial level on any quarterly review date.

The payout at maturity will be par unless either fund ever closes below its 50% knock-in level during the life of the notes, in which case investors will receive par plus the return of the worse performing fund, up to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Aug. 28.

The Cusip number is 22550BDT7.

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