Published on 5/26/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million buffered return enhanced notes linked to SPDR ETF
By William Gullotti
Buffalo, N.Y., May 26 – Credit Suisse AG, London Branch priced $2 million of 0% buffered return enhanced notes due Nov. 25, 2022 linked to the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If the ETF return is positive, the payout at maturity will be par plus 200% of the ETF return, capped at 16.42%.
Investors will receive par if the ETF declines by 20% or less and will lose 1.25% for every 1% that the ETF declines beyond 20%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Buffered return enhanced notes
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Underlying ETF: | SPDR S&P Oil & Gas Exploration & Production ETF
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Amount: | $2 million
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Maturity: | Nov. 25, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 200% of any ETF gain, subject to a maximum payout of par plus 16.42%; par if ETF declines by 20% or less; otherwise, 1.25% loss for every 1% that ETF declines beyond 20%
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Initial level: | $135.97
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Buffer level: | $108.78; 80% of initial level
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Strike date: | May 19
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Pricing date: | May 20
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Settlement date: | May 25
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 0.5%
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Cusip: | 22553PYS2
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