Credit Suisse plans absolute return barrier notes linked to indexes

By Marisa Wong

Madison, Wis., Aug. 5 – Credit Suisse AG plans to price 0% absolute return barrier securities due Aug. 13, 2019 linked to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if the final level of any index is less than or equal to its knock-in level, 65% of its initial level.

If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 180% to 185% of that index’s return. The exact upside participation rate will be set at pricing.

If the final level of the lowest-performing index 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 index’s return.

If the final level of the lowest-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lowest-performing index from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Aug. 8 and settle Aug. 13.

The Cusip number is 22547QRY4.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.