Credit Suisse eyes contingent coupon autocallables linked to two ETFs

By Devika Patel

Knoxville, Tenn., Oct. 17 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Oct. 25, 2021 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 9.5% per year unless either ETF closes below its coupon barrier level, 60% of its initial level, on the observation date for that quarter.

Beginning April 17, 2019 and ending July 20, 2021, the notes will be automatically called at par plus the coupon 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 from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22551LG95) are expected to price Oct. 18 and settle Oct. 23.

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