Credit Suisse to price contingent coupon autocallable yield notes on ETFs

By Sarah Lizee

Olympia, Wash., May 7 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 28, 2021 linked to the lesser 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 quarterly contingent coupon at an annual rate of 11.5% to 13.5% if each fund closes at or above its coupon barrier, 60% of its initial level, on the observation date for that quarter.

The notes will be automatically called at par if each fund closes at or above its initial level on any quarterly trigger observation date starting on Nov. 25.

A knock-in event will occur if, on any day during the life of the notes, either ETF closes below 60% of its initial level.

If a knock-in event has not occurred, the payout at maturity will be par.

If a knock-in event has occurred, the payout will be par plus the return of the lesser performing ETF, subject to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22552FC42) will price on May 28.

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