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

By Angela McDaniels

Tacoma, Wash., Jan. 7 ญญ- Credit Suisse AG, Nassau Branch plans to price 0% autocallable securities due Jan. 29, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Barclays is the agent.

If both indexes close at or above their trigger levels on Jan. 28, 2014, Jan. 27, 2015 or Jan. 26, 2016, the notes will be automatically redeemed and investors will receive par plus the automatic redemption premium.

The trigger level for each index is expected to be about 100% of its initial level. The automatic redemption premium is expected to be $100 to $120 per $1,000 principal amount of notes for the first review date, $200 to $240 for the second review date and $300 to $360 for the last review date.

If the notes are not automatically redeemed and either index finishes at or below its knock-in level, which is expected to be 75% of the initial level, the payout at maturity will be par plus the return of the lowest-performing index. Otherwise, the payout will be par.

The exact terms will be set at pricing, which is expected to occur Jan. 28. The settlement date is expected to be Jan. 31.

The Cusip number is 22546TT50.

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