Credit Suisse plans absolute return barrier notes tied to Dow, Russell

By Angela McDaniels

Tacoma, Wash., May 26 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due July 6, 2021 linked to the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 150% to 155% of the return of the lower-performing index. The exact upside participation rate will be set at pricing.

If the final level of the lower-performing index is less than its initial level and each index finishes above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lower-performing index.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes will price June 30.

The Cusip number is 22550B6E8.

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