Published on 3/23/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.44 million buffered accelerated return notes on index basket
By Wendy Van Sickle
Columbus, Ohio, March 23 – Credit Suisse AG, London Branch priced $5.44 million of 0% buffered accelerated return equity securities due March 13, 2025 linked to a basket of the S&P 500 index with a 50% weight, the Euro Stoxx 50 index with an 18% weight, the Tokyo Stock Price index with a 13.5% weight, the FTSE 100 index with a 10% weight, the Swiss Market index with a 4.5% weight and the S&P/ASX 200 index with a 4% weight, according to a 424B2 filing with the Securities and Exchange Commission.
If the basket return is positive, the payout at maturity will be par plus 1.415 times the return of the basket.
Investors will receive par if the basket falls by 20% or less and will lose 1% for every 1% that the basket declines beyond 20%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Buffered accelerated return equity securities
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| Basket components: | S&P 500 index (50% weight), Euro Stoxx 50 index (18% weight), Tokyo Stock Price index (13.5% weight), FTSE 100 index (10% weight), Swiss Market index (4.5% weight) and S&P/ASX 200 index (4% weight)
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| Amount: | $5,435,000
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| Maturity: | March 13, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the basket return is positive, par plus 1.415 times the return of the basket; par if the basket falls by 20% or less and will lose 1% for every 1% that the basket declines beyond 20%
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| Initial levels: | 2,882.23 for S&P 500, 2,910.02 for Stoxx, 1,406.68 for Tokyo, 5,960.23 for FTSE, 9,195.93 for Swiss, 5,939.6 for S&P/ASX
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.125%
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| Cusip: | 22551NSH0
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