Credit Suisse plans autocallable securities on S&P 500, Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., May 8 – Credit Suisse AG plans to price 0% autocallable securities due May 29, 2018 linked to the S&P 500 index and the Euro Stoxx 50 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 12.5% if each underlying index closes at or above its trigger level on any of three annual observation dates. The trigger level is expected to be 100% of the initial level on the May 25, 2016 observation date, 95% of the initial level on the May 24, 2017 observation date and 90% of the initial level on the May 23, 2018 observation date.

A knock-in event occurs if either index closes below its knock-in level, 75% of its initial level, on the May 23, 2018 valuation date.

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, the payout will be par plus the return of the lowest-performing index, with full exposure to any losses.

Barclays will act as agent.

The notes will price May 26 and settle May 29.

The Cusip number is 22546VDB9.

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