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

By Marisa Wong

Madison, Wis., June 12 – Credit Suisse AG plans to price 0% accelerated barrier notes due July 2, 2018 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 occurs if either underlying index finishes at or below its knock-in level, which is expected to be 60% 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 return of the worst-performing index is negative and a knock-in event has not occurred, the payout will be par.

If the return of the worst-performing index is negative an a knock-in event has occurred, 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 on June 27 and settle on July 2.

The Cusip number is 22547QPA8.

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