Credit Suisse plans absolute return barrier notes linked to index, ETF

By Angela McDaniels

Tacoma, Wash., Sept. 26 – Credit Suisse AG plans to price 0% absolute return barrier securities due Nov. 2, 2017 linked to the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing underlying component is greater than or equal to its initial level, the payout at maturity will be par plus 115% to 120% of that underlying component’s return. The exact upside participation rate will be set at pricing.

If the final level of the lowest-performing underlying component is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of that underlying component’s return. A knock-in event will occur if the final level of either underlying component is less than or equal to its knock-in level, 75% of its initial level.

If a knock-out event has occurred, investors will be fully exposed to the decline of the lowest-performing underlying component from its initial level to its final level.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Oct. 28 and settle Oct. 31.

The Cusip number is 22547QTU0.

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