Published on 12/30/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.2 million absolute return barrier securities on ETF, index
By William Gullotti
Buffalo, N.Y., Dec. 30 – Credit Suisse AG, London Branch priced $2.2 million of 0% absolute return barrier securities due Dec. 19, 2025 linked to the lowest performing of the iShares MSCI EAFE ETF and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlier finishes at or above the initial level, the payout at maturity will be par plus 1.8 times the return of the worse performing underlier.
If any underlier declines but each underlier finishes at or above the 70% barrier level, the payout will be par plus the absolute value of the return of the worst performer.
Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return barrier securities
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| Underlying assets: | iShares MSCI EAFE ETF, Euro Stoxx 50 index
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| Amount: | $2.2 million
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| Maturity: | Dec. 19, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each underlier gains, par plus 1.8 times the return of worse performing underlier; if any underlier declines but each underlier finishes at or above barrier level, par plus the absolute value of return of worst performer; otherwise, full exposure to decline of worst performer from initial level
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| Initial levels: | $77.62 for ETF, 4,159.68 for index
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| Barrier levels: | $54.334 for ETF, 2,911.776 for index; 70% of initial levels
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| Strike date: | Dec. 15
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| Pricing date: | Dec. 16
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| Settlement date: | Dec. 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.6%
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| Cusip: | 22553PCM9
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