Credit Suisse to price contingent coupon autocallables linked to ETFs

By Angela McDaniels

Tacoma, Wash., April 10 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 18, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon unless either ETF closes below its coupon barrier level, 70% of its initial share price, on the observation date for that quarter. The contingent coupon rate is expected to be 10% to 11% per year and will be set at pricing.

The notes will be automatically called at par if each ETF closes at or above its initial share price on any quarterly observation date.

The payout at maturity will be par unless either ETF finishes below its knock-in level, 65% of its initial share price, in which case investors will be fully exposed to the decline of the lesser-performing ETF.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price April 13.

The Cusip number is 22548QZQ1.

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