Credit Suisse plans absolute return digital barrier notes on indexes

By Sarah Lizee

Olympia, Wash., Sept. 4 – Credit Suisse AG, London Branch plans to price 0% absolute return digital barrier securities due Oct. 3, 2023 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 each index finishes at or above the initial level, the payout at maturity will be par plus the fixed return of 41.5% to 46.5%.

If each index finishes at or above the 60% knock-in level, the payout will be par plus the absolute value of the return of worse performing index, capped at $1,400 for each $1,000 of notes.

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 Sept. 28 and settle on Oct. 3.

The Cusip number is 22551L6T2.

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