Published on 6/4/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $8.91 million trigger step securities on MSCI EM ETF, basket
By Wendy Van Sickle
Columbus, Ohio, June 4 – Credit Suisse AG, London Branch priced $8.91 million of 0% trigger step securities due May 29, 2026 linked to the least performing of an index and an unequally-weighted basket, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying assets include the iShares MSCI Emerging Markets ETF and basket of equity indexes composed of the Euro Stoxx 50 index with a 40% weight, the Nikkei 225 index with a 25% weight, the FTSE 100 index with a 17.5% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with a 7.5% weight.
If the least performing asset is zero or positive, the payout at maturity will be par of $10 plus the greater of the return of the least performer and the step return of 55%.
Investors will receive par if the least performing asset declines by 25%; otherwise, investors will lose 1% for each 1% decline of the least performing asset.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger step securities
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| Underlying assets: | iShares MSCI Emerging Markets ETF and basket of Euro Stoxx 50 (40% weight), Nikkei 225 (25% weight), FTSE 100 (17.5% weight), Swiss Market (10% weight), S&P/ASX 200 (7.5% weight)
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| Amount: | $8,913,860
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| Maturity: | May 29, 2026
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If least performing asset is zero or positive, par plus greater of 55% and return least performing asset; par if least performer declines by up to 25%; otherwise, 1% loss for each 1% decline of least performer
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| Initial levels: | $54.51for MSCI EM; 4,031.61 for Euro Stoxx 50, 28,642.19 for FTSE 100, 7,026.93 for Nikkei 225, 11,348.74 for Swiss Market and 7,092.526 for S&P/ASX 200
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| Downside thresholds: | $40.88 for MSCI EM, 75.00 for basket; 75% of initial levels
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| Pricing date: | May 26
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| Settlement date: | May 28
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| Agent: | UBS Financial Services Inc
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| Fees: | 3.5%
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| Cusip: | 22552Y218
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