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

By Tali Rackner

Norfolk, Va., Dec. 2 – Credit Suisse AG, London Branch plans to price 0% accelerated barrier notes due Jan. 6, 2021 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 lesser-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 165% to 170% of the return of that index the exact rate will be set at pricing.

If the lesser-performing index finishes below its initial level and a knock-in event does not occur, the payout will be par. A knock-in event occurs if either index finishes at or below its knock-in level, 50% of its initial level.

If the lesser-performing index finishes below its initial level and a knock-in event occurs, investors will lost 1% for each 1% that the lesser-performing index declines.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on Dec. 31 and settle on Jan. 6.

The Cusip number is 22546VR40.

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