Credit Suisse plans to price Bares linked to S&P 500, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., April 30 - Credit Suisse AG, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities due June 5, 2017 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the return of the least-performing underlying index is zero or positive, the payout at maturity will be par plus the greater of the return and a fixed payment percentage of 28% to 32% that will be set at pricing. Investors will receive par if the least-performing index falls by up to 15% and will lose 1% for every 1% decline in the index beyond 15%.

The notes (Cusip: 22546T7D7) are expected to price May 31 and settle June 5.

Credit Suisse Securities (USA) LLC is the underwriter.

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