Credit Suisse to price contingent coupon autocallables on index, ETFs

By Devika Patel

Knoxville, Tenn., June 27 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 3, 2020 linked to the Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Regional Banking exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate expected of 9.1% if each underlying closes at or above its coupon barrier level, 70% of the initial level, on the observation date for that quarter. The exact coupon barrier level will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the closing level of each of the underlyings is greater than their respective initial levels on any quarterly observation date beginning Sept. 28.

The payout at maturity will be par unless any underlying finishes below its expected 60% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing underlying.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550WZ67) are expected to price June 28 and settle July 3.

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