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

By Susanna Moon

Chicago, May 17 – Credit Suisse AG, London Branch plans to price absolute return barrier securities due June 3, 2021 linked to the lowest performing of the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above the initial level, the payout at maturity will be par plus 150% to 155% of the gain of the worse performing index, with the exact participation rate to be set at pricing.

If either index falls but each index finishes above its 70% knock-in level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will be fully exposed to any losses.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 31 and settle on June 5.

The Cusip number is 22550B3C5.

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