Credit Suisse plans absolute return buffered notes on S&P 500, Russell

By Marisa Wong

Madison, Wis., Oct. 22 – Credit Suisse AG plans to price 0% absolute return buffered securities due Nov. 1, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the underlying return of the lower performing index.

For each index, if its final level is greater than or equal to its initial level, the underlying return will be 115% to 125% of the index return.

If the final level is less than its initial level by up to 20%, the underlying return will be the absolute value of the index return.

If the final level is less than its initial level by more than the 20% buffer, the underlying return will be the index return plus 20%.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Oct. 28 and settle on Oct. 31.

The Cusip number is 22547QV94.

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