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Credit Suisse plans autocallable securities on S&P 500, Russell 2000
By Marisa Wong
Morgantown, W.Va., Sept. 8 – Credit Suisse AG plans to price 0% autocallable securities due Sept. 29, 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 9.5% to 11.5% 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, about 70% 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 9.5%. 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 underwriter.
The notes will price on Sept. 25 and settle on Sept. 30.
The Cusip number is 22546VL38.
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