Published on 2/13/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 absolute return buffered notes on Dow, Russell, S&P
By Kiku Steinfeld
Chicago, Feb. 14 – Credit Suisse AG, London Branch priced $500,000 of 0% absolute return buffered securities due Sept. 5, 2024 linked to the laggard performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above its initial level, the payout at maturity will be par plus the lesser of the laggard index return and the 20.85% cap.
If each index falls but finishes at or above the 80% buffer level, the payout will be par plus the absolute value of the laggard return.
Otherwise, investors will lose 1% for each 1% decline of the least performing index beyond 20%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return buffered securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index, Dow Jones industrial average
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| Amount: | $500,000
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| Maturity: | Sept. 5, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its initial level, par plus lesser of 20.85% and the laggard return; if each index falls but finishes at or above buffer level, par plus the absolute value of laggard return; otherwise, exposure to losses of worse performing index beyond buffer level
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| Initial levels: | 2,273.774 for Russell, 35,360.73 for Dow, 4,522.68 for S&P
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| Buffer levels: | 1819.0192 for Russell, 28288.584 for Dow, 3618.144 for S&P; 80% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22552XU50
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