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Credit Suisse eyes absolute return buffered notes on S&P, Russell
By Emma Trincal
New York, Oct. 22 – Credit Suisse AG, London Branch plans to price 0% absolute return buffered securities due May 2, 2023 linked to the lowest 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 index finishes at or above its initial level, the payout at maturity will be par plus the return of the worse performing index, capped at par plus 15%.
If either index falls but neither falls by more than 15%, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will lose 1% for each 1% decline of the least performing index beyond the 15% buffer.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on Oct. 27 and settle on Oct. 30.
The Cusip number is 22552WNX9.
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