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

By Devika Patel

Knoxville, Tenn., Dec. 30 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due Feb. 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 145% to 150% 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, which is expected to be 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index. The exact knock-in level 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 (Cusip: 22546VRX6) will price on Jan. 29 and settle on Feb. 3.

© 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.