How to create a rounded slash / diagonal rounded rectangle?

Question

I want to snap and or merge the lines to the circles in order for me to create a rounded slash \ type design.

Answer 1

Another way of doing it, using the new corner radius handles

1. Draw a rectangle the width of your current circles
2. Using the direct select tool (white arrow) hover on the rectangle. You will notice there are little handles inside the shape, close to each corner. These handles control the radius of the corners. Grab any of them and drag them towards the inside of the rectangle to the maximum (until the rounded corners meet).
3. Rotate the shape to the required angle.

Answer 2

I know this is not what you asked, but you could use a stroke with rounded caps for a "slash" design.

1. Draw a stroke
2. Change the stroke width to the desired width of the slash (the diameter of your current circles)
3. Add rounded caps to the stroke (with the stroke selected open the stroke panel, click on the top right corner to expand options if necessary then select the rounded caps.
4. Expand the stroke (with the stroke selected select Object->Expand. Make sure Fill and Stroke are ticked then click OK)
5. Recolour the new object if necesary.

Answer 3

I would take a look at this video explaining the shape builder tool, a quick way to fuse and substract shapes from each other.