Credit Suisse plans contingent coupon autocallables tied to two funds

By Susanna Moon

Chicago, Oct. 5 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due April 30, 2020 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annualized rate of 9.5% to 11.5% if each underlying fund closes at or above its 50% coupon barrier on the observation date for that month.

The notes are callable at par on any quarterly observation 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 lose 1% for each 1% decline of the worse performing fund.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Oct. 26 and settle on Oct. 31.

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