Credit Suisse plans contingent coupon autocallables on fund, indexes

By Toni Weeks

San Diego, July 27 - Credit Suisse AG, Nassau Branch plans to price contingent coupon autocallable notes due Aug. 26, 2014 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 8.5% to 9.5% per year for interest periods in which no component closes below 75% of its initial value on the valuation date for that period. Otherwise, the interest rate for that interest period will be 1% per year.

Interest is payable semiannually. The exact interest rate will be set at pricing.

The payout at maturity will be par unless any component finishes below 75% of its initial value, in which case the payout will be par plus the return of the worst-performing component.

The notes will be automatically redeemed at par if the closing level of each underlying component is greater than or equal to its initial value on a valuation date.

The notes (Cusip: 22546TCV1) are expected to price Aug. 19 and settle Aug. 26.

Credit Suisse Securities (USA) LLC is the agent.

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