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

By Susanna Moon

Chicago, Feb. 6 – Credit Suisse AG, London Branch plans to price 0% absolute return digital barrier securities due Feb. 28, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above its initial level, the payout at maturity will be par plus the fixed return of 33% to 38%. The exact digital return will be set at pricing.

If either index falls by up to its 60% knock-in level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will receive par plus the return of the worse performing index with full exposure to any losses.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Feb. 23 and settle on Feb. 28.

The Cusip number is 22550WAV9.

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