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Credit Suisse plans absolute return barrier notes on S&P 500, Russell
By Jennifer Chiou
New York, April 23 - Credit Suisse AG plans to price 0% absolute return barrier securities due May 3, 2019 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-in event occurs if either underlying index finishes at or below its knock-in level, which is expected to be 52% of the initial level.
If each index finishes at or above the initial level, the payout at maturity will be par plus 110% 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.
Otherwise, investors will be fully exposed to losses of the worst-performing index.
The exact terms will be set at pricing.
The notes (Cusip: 22547QMC7) are expected to price on April 30 and settle on May 5.
Credit Suisse Securities (USA) LLC is the agent.
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