Credit Suisse plans autocallable notes tied to S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., July 6 – Credit Suisse AG plans to price 0% autocallable securities due Aug. 7, 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 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.

A knock-in event occurs if either index closes at or below its knock-in level, 70% to 75% of its initial level, 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 10%. If a knock-in event does occur, the payout will be par plus the return of the lowest-performing index, with full exposure to any losses.

The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The note will price July 31 and settle Aug. 5.

The Cusip number is 22546VGF7.

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