Credit Suisse plans contingent market-linked autocalls on indexes

By Sarah Lizee

Olympia, Wash., July 10 – Credit Suisse AG, London Branch plans to price market-linked securities due July 27, 2023 – autocallable with contingent coupon and contingent downside linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 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 8% to 9% if each index closes at or above its 75% coupon threshold on the observation date for that period.

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

The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.

Wells Fargo Securities LLC is the agent.

The notes will price on July 31.

The Cusip number is 22552FLF7.

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