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

By Sarah Lizee

Olympia, Wash., Aug. 23 – Credit Suisse AG, London Branch plans to price 0% absolute return barrier securities due March 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 the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus at least 100% of the return of the lower-performing index.

If the final level of the lower-performing index is less than its initial level and each index finishes above its knock-in level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lower-performing index.

If either index finishes at or below its knock-in level, investors will be fully exposed to the decline of the lower-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Aug. 27.

The Cusip number is 22552FR38.

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