Credit Suisse to price accelerated barrier notes on index, fund

By Toni Weeks

San Luis Obispo, Calif., June 10 – Credit Suisse AG plans to price 0% accelerated barrier notes due July 5, 2018 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 the final level of the lowest-performing component is greater than or equal to its initial level, the payout at maturity will be par plus 215% to 225% of that component’s return. If the final level of the lowest-performing component is less than the initial level but greater than the knock-in level, the payout will be par. Investors will be fully exposed to losses from the initial level if the final level of the lowest-performing component is less than or equal to the knock-in level.

The knock-in level is expected to be 70% of the initial level. The exact knock-in level and upside participation rate will be set at pricing.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price June 30 and settle July 3.

The Cusip number is 22547QP67.

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