Credit Suisse plans cert plus notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Dec. 26 - Credit Suisse AG plans to price 0% cert plus securities due Feb. 5, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the underlying return of the worst-performing index.

If an index's final level is greater than or equal to its initial level, its underlying return will be 130% to 135% of its return. The exact upside participation rate will be set at pricing.

If an index's final level is less than its initial level and a knock-in event has occurred, its underlying return will be equal to its return. A knock-in event occurs if either index finishes at or below its knock-in level, 50% of its initial level.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Jan. 31 and settle Feb. 5.

The Cusip number is 22547QES1.

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