Credit Suisse plans absolute return barrier notes tied to S&P, Russell

By Devika Patel

Knoxville, Tenn., July 12 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due Jan. 16, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus double the return of the lowest-performing index, subject to a maximum payout of 20.15%.

If the final level of the lowest-performing index is less than its initial level and each index finishes at or above its knock-in level, which is expected to be 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index. The exact knock-in level will be set at pricing.

If either index finishes below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22550BCW1) will price on July 12 and settle on July 17.

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