Credit Suisse plans absolute return barrier notes on S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., May 28 - Credit Suisse AG plans to price 0% absolute return barrier securities due July 3, 2019 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying index finishes at or below its knock-in level, which is expected to be 55% of the initial level.

If each index finishes at or above the initial level, the payout at maturity will be par plus 110% to 115% of the return of the worst-performing index.

If the worst-performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worst-performing index.

Otherwise, investors will be fully exposed to the decline of the worst-performing index.

The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price June 30 and settle July 3.

The Cusip number is 22547QNH5.

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