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

By Angela McDaniels

Tacoma, Wash., July 29 – Credit Suisse AG, London Branch plans to price 0% accelerated barrier notes due Sept. 3, 2020 linked to the Russell 2000 index and the S&P 500 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 175% to 180% of the return of that index. The exact upside participation 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, 70% of its initial level.

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

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price Aug. 31.

The Cusip number is 22548QD77.

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