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Credit Suisse plans absolute return barrier notes linked to indexes
By Marisa Wong
Morgantown, W.Va., Sept. 8 – Credit Suisse AG plans to price 0% absolute return barrier securities due Sept. 30, 2020 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
If each index finishes at or above its initial level, the payout at maturity will be par plus 125% to 130% of the return of the worse performing index.
If either index falls by up to the 65% knock-in level, the payout will be par plus the absolute return of the worse performing index.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
The notes are expected to price Sept. 25 and settle Sept. 30.
The Cusip number is 22546VL20.
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