Credit Suisse plans high/low coupon autocallables tied to two funds

By Marisa Wong

Morgantown, W.Va., Jan. 5 – Credit Suisse AG, London Branch plans to price high/low coupon autocallable yield notes due July 12, 2018 linked to the SPDR S&P Regional Banking exchange-traded fund and the iShares Nasdaq Biotechnology ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at a rate of 7.2% per year unless either fund closes below its 65% coupon barrier on a quarterly observation date, in which case the interest rate for that quarter will be 1% per year.

The notes will be automatically called at par if both funds close at or above their initial levels on any quarterly observation date.

The payout at maturity will be par unless either fund finishes below its 55% knock-in level, in which case the payout will be par plus the return of the lesser-performing fund.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Jan. 9.

The Cusip number is 22548QSD8.

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