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

By Angela McDaniels

Tacoma, Wash., Feb. 3 - Credit Suisse AG plans to price 0% accelerated barrier notes due March 5, 2018 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 the final level of either index is less than or equal to its knock-in level, 50% of its initial level.

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

If an index's final level is greater than or equal to its initial level, its underlying return will be 130% to 135% 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.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price Feb. 28 and settle March 5.

The Cusip number is 22547QH25.

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