Credit Suisse plans contingent coupon autocallables tied to two ETFs

By Marisa Wong

Morgantown, W.Va., March 2 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due June 8, 2018 linked to the lowest performing of the iShares Russell 2000 exchange-traded fund and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.

If each fund closes at or above its coupon barrier level, 70% of the initial level, on a monthly observation date, the notes will pay a contingent coupon for that month at an annual rate of 7.25%.

The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any quarterly observation date beginning Sept. 5, 2017.

The payout at maturity will be par unless either fund finishes below its initial level and either fund closes at or below its 70% knock-in level on any day during the life of the notes, in which case investors will receive a number of shares of the worse performing fund equal to $1,000 divided by the initial share price of that fund.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 3.

The Cusip number is 22549JFF2.

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