Credit Suisse plans absolute return barrier notes on two indexes

By Toni Weeks

San Luis Obispo, Calif., April 24 - Credit Suisse AG plans to price 0% absolute return barrier securities due May 31, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying index finishes at or below its knock-in level, which is expected to be 60% of the initial level.

If each index finishes at or above the initial level, the payout at maturity will be par plus 105% to 110% of the return of the worst-performing index.

If the worst-performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worst-performing index, with the maximum redemption amount expected to be $1,399.99 per $1,000 principal amount.

Otherwise, investors will be fully exposed to the decline of the worst-performing index.

The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 27 and settle on May 30.

The Cusip number is 22547QMS2.

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