Credit Suisse eyes contingent market-linked autocalls on indexes, ETF

By Sarah Lizee

Olympia, Wash., Feb. 6 – Credit Suisse AG, London Branch plans to price market-linked securities due March 1, 2022 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the iShares MSCI Emerging Markets ETF and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7.3% to 8.3% if each asset closes at or above its 70% coupon threshold on the observation date for that quarter.

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

The payout at maturity will be par unless any asset finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing asset with full exposure to any losses.

Wells Fargo Securities LLC is the agent.

The notes will price on Feb. 27.

The Cusip number is 22551LVV9.

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