Credit Suisse plans autocallable buffered notes tied to Euro Stoxx

By Marisa Wong

Madison, Wis., May 15 – Credit Suisse AG, London Branch plans to price 0% autocallable buffered notes linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature 36 to 39 months after issuance.

The notes will be called at par plus a call premium if the index closes at or above the initial level on any of two call observation dates. The call premium will be between 7.4% and 8.7% for the first call date and between 14.8% to 17.4% for the second call date. The call dates are expected to occur 13 and 24 months after pricing.

If the notes are not called and the final index level is greater than or equal to the initial level, the payout at maturity will be par plus a premium of 22.2% and 26.1%. If the index falls by up to 15%, the payout will be par. Otherwise, investors will lose 1.17647% for every 1% decline beyond 15%.

The exact deal terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price May 18.

The Cusip number is 22546VDQ6.

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