Credit Suisse plans high/low coupon autocallables on S&P, biotech ETF

By Marisa Wong

Morgantown, W.Va., Feb. 14 – Credit Suisse AG, London Branch plans to price high/low coupon autocallable yield notes due Aug. 21, 2018 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.

If the index and the fund both close at or above the barrier level, 68% of the initial level, on a quarterly observation date, the notes will pay a coupon at a rate of 7% per year for that quarter. If either underlying closes below the barrier level on the observation date, the coupon rate will be 1% per year.

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

The payout at maturity will be par unless either underlying finishes below its knock-in level, 58% of its initial level, in which case investors will receive par plus the return of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Feb. 15.

The Cusip number is 22548QVH5.

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