Credit Suisse plans to price autocallable bearish absolute return buffered notes

By Emma Trincal

New York, March 7 – Credit Suisse AG, London Branch plans to price 0% autocallable bearish absolute return buffered securities due March 20, 2025 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes at or less than its initial level on March 15, 2024, the notes will be called at par plus a 17.5% call premium.

If the notes are not called and the final level of the index is greater than its initial level but equal to or less than the buffer level, 120% of the initial price, investors will receive par plus the index gain.

If the notes finish above the buffer level, investors will lose 1% for every 1% increase of the index above a 20% buffer.

If the final level is equal to or less than the initial level, investors will receive par plus 125% of the absolute value of the index decline.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 15 and settle on March 20.

The Cusip number is 22553QRS8.

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