Credit Suisse plans absolute return digital barrier notes on indexes

By Devika Patel

Knoxville, Tenn., March 15 – Credit Suisse AG, London Branch plans to price 0% absolute return digital barrier securities due March 31, 2022 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the fixed payment percentage, which is expected to be between 37.5% and 42.5%. The exact fixed payment percentage will be set at pricing.

If the final level of the lowest-performing index is less than its initial level and each index finishes above its knock-in level, which is expected to be about 60% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index. The exact knock-in level will be set at pricing.

If either index finishes at or below its knock-in level, investors will lose 1% for each 1% decline of the lowest-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22548QWB7) will price on March 28 and settle on March 31.

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