Credit Suisse eyes contingent coupon autocallable yield notes on two indexes

By Sarah Lizee

Olympia, Wash., April 4 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due April 30, 2024 linked to the lowest performing of the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 10% if each index closes at or above its coupon barrier level, 67.5% of its initial level, on a related observation date.

The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly call observation date beginning Oct. 25.

The payout at maturity will be par unless either index finishes below its 67.5% knock-in level, in which case investors will be fully exposed to any losses of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on April 25.

The Cusip number is 22552F670.

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