Credit Suisse to price contingent coupon autocallables on ETF, indexes

By Marisa Wong

Morgantown, W.Va., May 21 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Aug. 26, 2019 linked to the least performing of the Dow Jones industrial average, SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and Nasdaq 100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 9.5% if each underlying closes at or above its 70% coupon barrier on the observation date for that quarter.

The notes will be called at par if each underlying closes at or above its initial level on any quarterly review date.

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

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

If a knock-in event does occur, the payout will be par plus the return of the worst performing underlying, capped at par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price May 22.

The Cusip number is 22550WUP0.

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