Credit Suisse plans absolute return notes linked to S&P 500, Russell

By Angela McDaniels

Tacoma, Wash., Nov. 15 – Credit Suisse AG, London Branch plans to price 0% absolute return buffered securities due Dec. 1, 2021 linked to the lesser performing of 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 equal to or greater than its initial level, the payout at maturity will be par plus 150% of the lowest-performing index’s return, subject to a maximum return that is expected to be at least 20% and will be set at pricing.

If the final level of the lowest-performing index is less than its initial level but equal to or greater than its buffer level, 90% of its initial level, the payout will be par plus the absolute value of the lowest-performing index’s return.

If the final level of the lowest-performing index is less than its buffer level, investors will lose 1% for every 1% that the lowest-performing index declines beyond 10%.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Nov. 25.

The Cusip number is 22551N7A8.

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