Credit Suisse plans autocallable buffered return notes on two indexes

By Marisa Wong

Madison, Wis., Dec. 15 – Credit Suisse AG, London Branch plans to price 0% autocallable buffered return equity securities due June 23, 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 semiannual review date. The call return is expected to be an annualized rate of at least 9.5%.

If the notes are not called, investors will receive par at maturity if the worst-performing index declines by up to 20% and will lose 1.25% for every 1% that it declines beyond the buffer amount.

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 22547QZG4.

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