Published on 3/17/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.11 million leveraged buffered notes linked to index basket
By Kiku Steinfeld
Chicago, March 17 – Credit Suisse AG, London Branch priced $5.11 million of 0% buffered notes due Feb. 24, 2023 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 36% weight, the Topix index with a 29% weight, the FTSE 100 index with a 16% weight, the Swiss Market index with a 11% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, capped at $1,235.05 per each $1,000 principal amount of notes. Investors will receive par if the basket declines by 12.5% or less and will lose 1.1429% for every 1% that the basket may decline beyond 12.5%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Leveraged buffered notes
|
| Underlying indexes: | Euro Stoxx 50 (36% weight), Topix (29% weight), FTSE 100 (16% weight), Swiss Market (11% weight) and S&P/ASX 200 (8% weight)
|
| Amount: | $5,107,000
|
| Maturity: | Feb. 24, 2023
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 150% of basket return, capped at $1,235.05 per each $1,000 principal amount of notes; par if basket declines by 12.5% or less; 1.1429% loss for every 1% that basket declines beyond 12.5%
|
| Initial levels: | 3,707.72 for Stoxx, 1,894.85 for Topix, 6,613.75 for FTSE, 10,817.15 for Swiss, 6,762.272 for S&P/ASX
|
| Buffer level: | 87.5% of initial basket level
|
| Pricing date: | March 2
|
| Settlement date: | March 9
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22552XDY6
|
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