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Credit Suisse plans absolute return digital notes tied to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Nov. 22 – Credit Suisse AG, London Branch plans to price 0% absolute return digital barrier securities due Jan. 5, 2021 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 payment percentage, which is expected to be 35% to 40% and will be set at pricing.
If either index falls but each index finishes above its knock-in level, 65% of its initial level, the payout will be par plus the absolute value of the return of the lesser-performing index.
Otherwise, investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price Dec. 30.
The Cusip number is 22548QNY7.
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