Credit Suisse plans absolute return barrier notes linked to S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., Dec. 30 – Credit Suisse AG plans to price 0% absolute return barrier securities due Jan. 30, 2020 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 either underlying index finishes at or below its knock-in level, 60% of the initial level.

If the worst-performing index finishes at or above the initial level, the payout at maturity will be par plus 102.5% to 107.5% of the return of the worst-performing index.

If the worst-performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the worst-performing index, up to a maximum amount of $1,399.99 for each $1,000 principal amount.

Otherwise, investors will be fully exposed to losses of the worst-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Jan. 27 and settle Jan. 30.

The Cusip number is 22547QZW9.

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