Credit Suisse plans absolute return barrier notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Jan. 30 – Credit Suisse AG plans to price 0% absolute return barrier securities due Feb. 27, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

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 102.5% to 107.5% 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. A knock-in event will occur if the final level of either index is less than or equal to its knock-in level, 60% of its initial level.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Feb. 24 and settle Feb. 27.

The Cusip number is 22546V3D6.

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