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Credit Suisse plans absolute return barrier notes linked to S&P 500, Russell
By Susanna Moon
Chicago, Feb. 7 - Credit Suisse AG plans to price 0% absolute return barrier securities due March 1, 2018 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, 66% to 70% of the initial level.
If the worse performing index finishes at or above the initial level, the payout at maturity will be par plus the return of the worse performing index.
If the worse 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 worse performing index.
Otherwise, investors will be fully exposed to losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on Feb. 24 and settle on Feb. 27.
The Cusip number is 22547QHQ2.
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