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

By Jennifer Chiou

New York, Feb. 3 – Credit Suisse AG plans to price 0% accelerated barrier notes due Feb. 28, 2019 linked to the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

A knock-in event occurs if the final level of either index is less than or equal to its knock-in level, 70% of the initial level.

The payout at maturity will be par plus the return of the lowest-performing underlying index.

If an index’s final level is greater than or equal to its initial level, its underlying return will be 132.5% to 137.5% of the index return.

If an index’s final level is less than its initial level and a knock-in event has not occurred, its underlying return will be zero. If an index’s final level is less than its initial level and a knock-in event has occurred, its underlying return will be equal to the index return.

The exact upside participation rate will be set at pricing.

The notes (Cusip: 22546V3E4) will price on Feb. 24 and settle on Feb. 27.

Credit Suisse Securities (USA) LLC is the underwriter.

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