Credit Suisse plans absolute return barrier notes linked to Euro Stoxx

By Jennifer Chiou

New York, July 1 – Credit Suisse AG plans to price 0% absolute return barrier securities due July 27, 2020 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event will occur if the final index level is less than or equal to its knock-in level, 60% of the initial level.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 130% to 135% of the index return. The exact upside participation rate will be set at pricing.

If the final index level is less than the initial index level and a knock-in event has not occurred, the payout will be par plus the absolute value of the index return.

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

The notes (Cusip: 22547QNM4) are expected to price on July 18 and settle on July 25.

Credit Suisse Securities (USA) LLC is the agent.

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