Credit Suisse plans absolute return barrier notes on Russell, S&P 500

By Marisa Wong

Madison, Wis., May 27 - Credit Suisse AG plans to price 0% absolute return barrier securities due June 28, 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 will occur if either index finishes at or below its knock-in level, which is expected to be 60% of its initial level and will be set at pricing.

If the worst-performing index finishes at or above its initial level, the payout at maturity will be par plus the product of the upside participation rate and the return of the worst-performing index. The upside participation rate is expected to be 105% to 110% and will be set at pricing.

If the worst-performing index finishes below its initial level and a knock-in event does not occur, the payout will be par plus the absolute value of the return of the worst-performing index.

If the worst-performing index finishes below its initial level and a knock-in event does occur, investors will have full exposure to the decline of worst-performing index.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price June 25 and settle June 30.

The Cusip number is 22547QND4.

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