Credit Suisse plans absolute return barrier notes on S&P, Russell

By Tali Rackner

Norfolk, Va., Dec. 2 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due Jan. 6, 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 its initial level, the payout at maturity will be par plus 110% to 115% of the return of the lowest-performing index. 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 each index finishes above its knock-in level, about 60% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index, subject to a maximum redemption amount of about $1,399.99 per $1,000 principal amount. The exact knock-in level and maximum return will be set at pricing.

If either index finishes at or below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on Dec. 31 and settle on Jan. 6.

The Cusip number is 22546VR57.

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