Credit Suisse to price absolute return barrier notes linked to indexes

By Jennifer Chiou

New York, Feb. 27 – Credit Suisse AG plans to price 0% absolute return barrier securities due April 3, 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 105% to 110% 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, 55% 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.

The notes (Cusip: 22546V5U6) will price on March 31 and settle on April 6.

Credit Suisse Securities (USA) LLC is the agent.

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