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Published on 5/17/2017 in the Prospect News Structured Products Daily.

Credit Suisse plans absolute return digital barrier notes on indexes

By Susanna Moon

Chicago, May 17 – Credit Suisse AG, London branch plans to price 0% absolute return digital barrier securities due June 3, 2022 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.

If each index finishes at or above the initial level, the payout at maturity will be par plus a fixed return of between 42.5% and 47.5%, with the exact digital return to 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.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on May 31 and settle on June 5.

The Cusip number is 22550B3B7.


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