Credit Suisse plans absolute return digital notes tied to S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, Dec. 30 – Credit Suisse AG, London Branch plans to price 0% absolute return digital barrier securities due Feb. 5, 2020 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 fixed return of 27.5% to 32.5%. The exact digital return will be set at pricing.

If either index falls but each index finishes above its 70% knock-in level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will be fully exposed to any losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 31 and settle on Feb. 3.

The Cusip number is 22548QRM9.

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