Credit Suisse plans absolute return barrier notes tied to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Dec. 4 - Credit Suisse AG plans to price 0% absolute return barrier securities due Dec. 29, 2017 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 the final level of either underlying index is less than or equal to its knock-in level, which is expected to be 66% to 70% of its initial level and will be set at pricing.

If the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lower-performing index, subject to a maximum return of 29.9% to 33.9% that will be set at pricing.

If the final level of the lower-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of the lower-performing index's return.

If the final level of the lower-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lower-performing index.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price Dec. 27 and settle Dec. 31.

The Cusip number is 22547QEE2.

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