Credit Suisse sets buffer for autocallable buffered return notes linked to S&P 500, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., March 7 - Credit Suisse AG, Nassau Branch set the buffer amount for its upcoming issue of 0% autocallable buffered return equity securities due April 4, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The buffer amount will be 15%. Previously, the issuer said the buffer amount would be 12.5% to 17.5%.

The notes will be automatically called at par plus a call return if both underlying indexes close above their respective initial level on any annual review date. The call return is expected to be an annualized rate of 8%.

If the notes are note called, investors will receive par at maturity if the worst-performing index declines by up to 15% and will lose 1% for every 1% that it declines beyond 15%.

The exact terms will be set at pricing.

The securities (Cusip: 22546T2S9) are expected to price March 28 and settle April 3.

Credit Suisse Securities (USA) LLC is the agent.

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