Credit Suisse plans autocallable absolute return buffered notes on S&P, Nasdaq

By Emma Trincal

New York, June 2 – Credit Suisse AG, London Branch plans to price 0% autocallable absolute return buffered securities due June 13, 2024 linked to the lowest performing of the Nasdaq-100 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium of 11% if each index finishes at or above its initial level on June 16, 2023.

If the notes are not called, the payout at maturity will be par plus 150% the return of the worse performing index.

If the worst performer declines but finishes at or above the 85% buffer level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will lose 1% for each 1% decline of the least performing index beyond the 15% buffer.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on June 9 and settle on June 14.

The Cusip number is 22553Q2L0.

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