Credit Suisse to price autocallables linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., May 26 – Credit Suisse AG, London Branch plans to price 0% autocallable securities due June 28, 2019 linked to the lowest performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a premium if each index closes at or above its initial level on Dec. 26, 2017, June 26, 2018 or Dec. 26, 2018. The premium is expected to be 8% to 10% per year and will be set at pricing.

A knock-in event will occur if either index closes below its knock-in level, 70% of its initial level, during the life of the notes.

If each index finishes at or above its initial level, the payout at maturity will be par plus the contingent maximum return, which is expected to be 16% to 20% and will be set at pricing.

If either index finishes below its initial level and a knock-in event has not occurred, the payout will be par plus 10%.

If either index finishes below its initial level and a knock-in event has occurred, investors will be exposed to the decline of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price June 27.

The Cusip number is 22550B5R0.

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