Credit Suisse plans autocallable buffered return notes tied to indexes

By Toni Weeks

San Luis Obispo, Calif., March 27 - Credit Suisse AG, Nassau Branch plans to price 0% autocallable buffered return equity securities due May 3, 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 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 7% to 8%.

If the notes are not 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 the buffer amount.

The exact terms will be set at pricing.

The securities (Cusip: 22546T4R9) are expected to price April 30 and settle May 3.

Credit Suisse Securities (USA) LLC is the agent.

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