Credit Suisse plans absolute return barrier notes linked to indexes

By Angela McDaniels

Tacoma, Wash., July 24 – Credit Suisse AG, London Branch plans to price 0% autocallable buffered absolute return barrier securities due Jan. 30, 2017 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a premium if each underlying component closes at or above its trigger level on Jan. 26, 2016, July 26, 2016 or Jan. 25, 2017. The trigger levels are expected to be 100% of the initial levels. The premium is expected to be 9.65% per year. Both will be set at pricing.

If the final level of the lowest-performing underlying component is less than its initial level by not more than 15%, the payout at maturity will be par plus the absolute value of that underlying component’s return. Otherwise, investors will lose 1.17647% for every 1% that the underlying component declines beyond 15%.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price July 27 and settle July 30.

The Cusip number is 22546VHN9.

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