Credit Suisse plans absolute return barrier notes on Vanguard REIT ETF

By Angela McDaniels

Tacoma, Wash., July 15 – Credit Suisse AG plans to price 0% absolute return barrier securities due Jan. 20, 2017 linked to the Vanguard REIT exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if the final share price is less than or equal to the knock-in level, which is expected to be 74% of the initial share price.

If the final share price is greater than or equal to the initial share price, the payout at maturity will be par plus the product of the upside participation rate, which is expected to be 125%, and the ETF return.

If the final share price is less than the initial share price and a knock-in event has not occurred, the payout will be par plus the product of the downside participation rate, which is expected to be 50%, and the absolute value of the ETF return.

If the final share price is less than the initial share price and a knock-in event has occurred, investors will be fully exposed to the decline from the initial share price to the final share price.

The exact knock-in level, upside participation rate and downside participation rate will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price July 16 and settle July 18.

The Cusip number is 22547QQP4.

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