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

By Sarah Lizee

Olympia, Wash., March 12 – Credit Suisse AG, London Branch plans to price 0% absolute return buffered securities due March 18, 2021 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each underlying finishes at or above its initial level, the payout at maturity will be par plus the return of the lesser performing underlying.

If the lesser performing underlying falls by up to 15%, the payout will be par plus the absolute value of the return of the lesser performing underlying.

If the lesser performing underlying falls by more than 15%, investors will lose 1% for every 1% decline of the lesser performing underlying beyond 15%.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 15.

The Cusip number is 22552F2N1.

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