Credit Suisse plans absolute return barrier notes linked to Euro Stoxx

By Toni Weeks

San Luis Obispo, Calif., April 23 - Credit Suisse AG plans to price 0% absolute return barrier securities due June 2, 2020 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if the index finishes at or below the 60% knock-in level.

The payout at maturity will be par plus 135% to 140% of any gain in the index, with the exact participation rate to be set at pricing.

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 $1,399.99 per $1,000 principal amount.

Otherwise, investors will be fully exposed to any losses.

The exact terms will be set at pricing.

The notes (Cusip: 22547QMJ2) are expected to price May 23 and settle June 2.

Credit Suisse Securities (USA) LLC is the agent.

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