Credit Suisse plans absolute return barrier notes linked to the Dow

By Marisa Wong

Madison, Wis., Feb. 2 – Credit Suisse AG plans to price 0% absolute return barrier securities due March 1, 2021 linked to the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if the index finishes at or below the 70% knock-in level.

The payout at maturity will be par plus 125% to 130% of any gain in the index.

If the index falls but a knock-in event has not occurred, the payout will be par plus the absolute value of the return, subject to a maximum redemption amount that is expected to be $1,299.99 per $1,000 principal amount.

Otherwise, investors will be fully exposed to any losses.

The exact terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Feb. 20 and settle Feb. 27.

The Cusip number is 22546V3S3.

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