Credit Suisse plans contingent coupon autocallable yield notes on indexes

By Sarah Lizee

Olympia, Wash., May 9 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due May 31, 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, 70% 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 May 26, 2020.

A knock-in event will occur if the final level of either index is less than its knock-in level, 70% of its initial level.

If a knock-in event has not occurred, the payout at maturity will be par.

If a knock-in event has occurred, the payout will be par plus the return of the lesser performing index with full exposure to the loss.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 28.

The Cusip number is 22552FCV2.

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