Credit Suisse plans accelerated barrier notes on S&P 500, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., March 3 - Credit Suisse AG plans to price 0% accelerated barrier notes due March 30, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 130% to 135% of the index return. If the final level of the lowest-performing index 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 lowest-performing index falls below the knock-in level.

The knock-in level is expected to be 65% 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 March 26 and settle March 31.

The Cusip number is 22547QJT4.

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