Credit Suisse plans autocallable securities on S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., April 10 – Credit Suisse AG plans to price 0% autocallable securities due April 24, 2019 linked to 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 an annualized redemption premium of 8.75% if each underlying index closes at or above its trigger level on any of four annual observation dates. The trigger level is roughly 100% of the initial level. The exact coupon and trigger level will be set at pricing.

A knock-in event occurs if the final closing level of either index is at or below its knock-in level, 70% of its initial level.

If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par plus the contingent minimum return of 10%. If a knock-in event does occur, the payout will be par plus the return of the lowest performing index, with full exposure to any losses.

Credit Suisse Securities (USA) LLC is the agent.

The note will price on April 17 and settle on April 24.

The Cusip number is 22546VBL9.

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