Credit Suisse plans 5.2% autocallable buffered notes on two indexes

By Marisa Wong

Madison, Wis., Dec. 15 – Credit Suisse AG, London Branch plans to price 5.2% autocallable coupon buffered securities due June 23, 2016 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be automatically called at par plus accrued interest if both underlying indexes close at or above their trigger levels on any quarterly observation date. The trigger level is expected to be 100% of the initial level.

If the notes are not called, investors will receive par plus the underlying return of the lower performing index. For each index, the underlying return is zero unless the final index level is less than the initial level by more than 20%, in which case the underlying return is 125% times the sum of the index return plus the 20% buffer.

The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Dec. 16 and settle on Dec. 23.

The Cusip number is 22547QZH2.

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