Credit Suisse to price absolute return digital barrier notes on S&P, Russell due 2022

By Lisa Mayntz

Chicago, Feb. 22 – Credit Suisse AG, London Branch plans to price absolute return digital barrier securities due Feb. 28, 2022 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 the final level of the lowest performing index is greater than or equal to its initial level, the payout at maturity will be par plus the fixed payment percentage of 40% to 45%. The exact fixed payment will be set at pricing.

If the final level of the lowest performing index is less than its initial level and each index finishes above its knock-in level, which is expected to be 60% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lowest-performing index. The exact knock-in level will be set at pricing.

If either index finishes at or below its knock-in level, investors will lose 1% for each 1% decline of the lowest-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Feb. 23 and settle on Feb. 28.

The Cusip number is 22548QU78.

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