Credit Suisse plans autocallable securities on S&P 500, Russell 2000

By Jennifer Chiou

New York, March 25 – Credit Suisse AG plans to price 0% autocallable securities due April 28, 2017 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 an annualized redemption premium of 8% to 10% if each underlying index closes at or above its trigger level on any of four semiannual observation dates. The trigger level is roughly 100% of the initial level. The exact coupon and trigger level will be set at pricing.

A knock-in event occurs if the closing level of either index closes at or below its knock-in level, 70% of its initial level, on any trading day during the life of the notes.

If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par plus the contingent minimum return of 8%. If a knock-in event does not occur, the payout will be a maximum of par, with full exposure to any losses.

The notes (Cusip: 22546VAC0) will price on April 27 and settle on April 30.

Credit Suisse Securities (USA) LLC is the agent.

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