Credit Suisse plans absolute return barrier securities tied to S&P 500

By Toni Weeks

San Diego, Sept. 28 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return barrier securities linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature between March 5, 2015 and June 4, 2015.

A knock-out event will occur if the index closes below its knock-out level, 79.5% to 80.5% of its initial level, on the valuation date, which will be between March 2, 2015 and June 1, 2015.

If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 19.5% to 20.5%.

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

If the final index level is less than the initial level and a knock-out event has occurred, investors will lose 1.2422% to 1.2579% for every 1% index decline beyond the buffer.

The exact terms will be set at pricing.

The notes are expected to price and settle in October.

Credit Suisse Securities (USA) LLC is the underwriter.

The Cusip number is 22546TA43.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.