Credit Suisse plans absolute return barrier notes linked to indexes

By Toni Weeks

San Luis Obispo, Calif., July 30 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due Sept. 5, 2019 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing underlying index is greater than or equal to its initial level, the payout at maturity will be par plus 100% to 105% of the return of that index, with the exact participation rate to be set at pricing.

If the lowest-performing index falls by up to 40%, the payout will be par plus the absolute return of the lowest-performing index.

If the lowest-performing index falls by more than 40%, investors will receive par plus the return of the lowest-performing index, with full exposure to losses.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Aug. 31 and settle Sept. 3.

The Cusip number is 22546VJ31.

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