Credit Suisse plans autocallables linked to Euro Stoxx, iShares EAFE

By Angela McDaniels

Tacoma, Wash., Feb. 12 - Credit Suisse AG plans to price 0% autocallable securities due Feb. 19, 2016 linked to the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If each underlier closes or above its trigger level on Feb. 20, 2015, the notes will be automatically called at par plus the automatic redemption premium. The trigger level is expected to be 100% of the initial level, and the automatic redemption premium is expected to be 13%.

If the notes are not called, the payout at maturity will be par plus the underlying return of the lowest performing underlier.

If an underlier's final level is greater than its initial level, its underlying return will be its return multiplied by the upside participation rate, which is expected to be at least 200%.

If an underlier's final level is less than its initial level and a knock-in event occurs, its underlying return will equal its return. A knock-in event occurs if the final level of either underlier is less than its knock-in level, which is expected to be 75% of the initial level.

If an underlier's final level is less than its initial level and a knock-in event does not occur, its underlying return will be zero.

The exact terms will be set at pricing.

Barclays is the agent.

The notes are expected to price Feb. 13 and settle Feb. 19.

The Cusip number is 22547QHX7.

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