Credit Suisse plans autocallable notes on Euro Stoxx, Russell 2000

By Marisa Wong

Madison, Wis., Feb. 4 – Credit Suisse AG plans to price 0% autocallable securities due Feb. 12, 2018 linked to the Euro Stoxx 50 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 12.25% if each underlying index closes at or above its trigger level on any of three annual observation dates. The trigger level is roughly 100% of the initial level for the first observation date and 90% of the initial level for the second and third observation dates. The exact premium and trigger levels will be set at pricing.

A knock-in event occurs if the final level of either index is less than the knock-in level, 70% of the initial level.

If the notes are not called and a knock-in event has not occurred, the payout at maturity will be par. If a knock-in event does occur, investors will be fully exposed to any losses.

Barclays is the placement agent.

The notes are expected to price on Feb. 6 and settle on Feb. 10.

The Cusip number is 22546V4R4.

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