Credit Suisse to price absolute return barrier notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., June 25 – Credit Suisse AG plans to price 0% absolute return barrier securities due Aug. 2, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if the final index level is less than or equal to the knock-in level, which is expected to be 70% of the initial level.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 115% to 120% of the index return. The exact participation rate will be set at pricing.

If the final index level is less than the initial index level and a knock-in event has not occurred, the payout will be par plus the absolute value of the index return.

If the final level is less than the initial index level and a knock-in event has occurred, investors will be fully exposed to the decline from the initial index level to the final index level.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price July 24 and settle July 31.

The Cusip number is 22546VG75.

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