Credit Suisse eyes contingent coupon autocallables linked to two ETFs

By Devika Patel

Knoxville, Tenn., Sept. 26 – Credit Suisse AG, London branch plans to price contingent coupon autocallable yield notes due July 2, 2020 linked to the lesser performing of the Invesco QQQ Trust, Series 1 and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon at the rate of 6.65% per year unless either ETF closes below its coupon barrier level, expected to be 70% of its initial level, on the observation date for that month. The exact coupon barrier level will be set at pricing.

Beginning March 28, 2019 and ending March 30, 2020, the notes will be automatically called at par if both ETFs close at or above their respective initial levels on a quarterly redemption date.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22551LC99) are expected to price Sept. 27 and settle Oct. 2.

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