Credit Suisse plans absolute return barrier notes linked to S&P 500, Russell

By Susanna Moon

Chicago, Dec. 17 - Credit Suisse AG plans to price 0% absolute return barrier securities due Jan. 5, 2017 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 closes at or below its knock-in level on any day during the life of the notes. The knock-in level will be 54.5% to 57% of the initial level, with the exact percentage to be set at pricing.

If the worse performing index finishes at or above the knock-in level, the payout at maturity will be par plus the return of the worse performing index, up to a maximum return of 15%.

If the worse performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worse performing index.

If the worse performing index falls and a knock-in event has occurred, investors will be fully exposed to losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Dec. 31 and settle on Jan. 6.

The Cusip number is 22547QEZ5.

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