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

By Jennifer Chiou

New York, Aug. 27 – Credit Suisse AG plans to price 0% accelerated barrier notes due Sept. 26, 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 worst-performing index finishes at or above its initial level, the payout at maturity will be par plus 133% to 138% of the return of the worst performing index. The exact participation rate will be set at pricing.

If the worst performing index falls by up to its knock-in level, 70% of its initial level, the payout will be par.

If the worst performing index finishes below its knock-in level, investors will be fully exposed to any losses of the worst performing index.

The notes (Cusip: 22547QSP2) will price on Sept. 25 and settle on Sept. 30.

Credit Suisse Securities (USA) LLC is the underwriter.

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