Credit Suisse plans to price contingent market-linked autocalls on ETFs

By Emma Trincal

New York, Feb. 12 – Credit Suisse AG plans to price 0% market-linked securities due Feb. 15, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the Financial Select Sector SPDR fund, the Consumer Staples Select Sector SPDR fund and the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 6% to 7% if each ETF closes at or above its 60% coupon threshold on the observation date for that period. The exact coupon rate will be set at pricing.

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

The payout at maturity will be par unless any ETF finishes below its 60% downside threshold, in which case the payout will be par plus the return of the worst performing ETF with full exposure to any losses.

Wells Fargo Securities, LLC is the agent.

The notes were expected to price on Feb. 12 and will settle on Feb. 19.

The Cusip number is 22552XBS1.

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