Credit Suisse plans accelerated barrier notes linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., Dec. 21 – Credit Suisse AG, London Branch plans to price 0% accelerated barrier notes due July 3, 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the index return multiplied by the upside participation rate, subject to a maximum return.

If the 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 the index finishes at or below the knock-in level.

If the index finishes below the initial index level and a knock-in event occurs, investors will be fully exposed to the index decline.

The upside participation rate is expected to be 150%, the maximum return is expected to be between 48% and 58%, and the knock-in level is expected to be 70% of the initial level. The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price Dec. 28.

The Cusip number is 22546VSY3.

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