Credit Suisse to sell absolute return barrier notes linked to S&P 500

By Devika Patel

Knoxville, Tenn., Sept. 18 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due Sept. 28, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the index is greater than or equal to its initial level, the payout at maturity will be par plus 125% of the return, subject to a maximum settlement amount that is expected to fall between 40% and 45% and will be set at pricing along with the exact participation rate.

If the final level is less than the initial level and the index finishes above its knock-in level, 80% of its initial level, the payout at maturity will be par plus the absolute value of the return.

If the index finishes at or below its knock-in level, investors will lose 1% for each 1% decline of the index from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22551LAA8) will price on Sept. 21 and settle on Sept. 28.

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