Credit Suisse plans absolute return buffered notes tied to two funds

By Sarah Lizee

Olympia, Wash., Aug. 15 – Credit Suisse AG, London Branch plans to price 0% absolute return buffered securities due Aug. 26, 2021 linked to the worse performing of the Energy Select Sector SPDR fund and the VanEck Vectors Oil Services exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If each underlying finishes at or above its initial level, the payout at maturity will be par plus 150% of the return of the lesser performing underlying, with return capped at 45%.

If the lesser performing underlying falls by up to 15%, the payout will be par plus the absolute value of the return of the lesser performing underlying.

If the lesser performing underlying falls by more than 15%, investors will lose 1% for every 1% decline of the lesser performing underlying beyond 15%.

Credit Suisse Securities (USA) LLC is the agent.

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

The Cusip number is 22551L4H0.

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