Credit Suisse plans autocallables on S&P 500, Euro Stoxx, FTSE, Nikkei

By Angela McDaniels

Tacoma, Wash., June 12 – Credit Suisse AG plans to price 0% autocallable securities due June 18, 2020 linked to the S&P 500 index, the Euro Stoxx 50 index, the FTSE 100 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.

Beginning June 20, 2016, the notes will be automatically called at par plus a premium if each index closes at or above its trigger level on any semiannual observation date.

For each index, the trigger level is expected to be 100% of the initial index level on the first observation date through the eight observation date and 70% of the initial index level on the ninth observation date.

The redemption premium is expected to be 14.27% for the first observation date, 21% for the second observation date, 28% for the third observation date, 35% for the fourth observation date, 42% for the fifth observation date, 49% for the sixth observation date, 56% for the seventh observation date, 63% for the eighth observation date and 70% for the ninth observation date.

If the notes are not called, the payout at maturity will be par unless any index finishes below its knock-in level, 70% of its initial level, in which case investors will be fully exposed to the decline of the least-performing index.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price June 15 and settle June 18.

The Cusip number is 22546VFK7.

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