Published on 2/28/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $8.12 million trigger absolute return step notes on index basket
By William Gullotti
Buffalo, N.Y., Feb. 28 – Credit Suisse AG, London Branch priced $8.12 million of 0% trigger absolute return step securities due Feb. 26, 2027 linked to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists 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 basket finishes at or above its initial level, the payout at maturity will be the greater of par plus 41.5% and par plus the basket return.
If the basket declines but finishes at or above the 75% downside threshold, the payout will be par plus the absolute value of the basket’s return.
Otherwise, investors will be fully exposed to the basket’s decline from its initial level.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger absolute return step securities
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| Underlying indexes: | Euro Stoxx 50 index (40% weight), Nikkei 225 index (25% weight), FTSE 100 index (17.5% weight), Swiss Market index (10% weight), S&P/ASX 200 index (7.5% weight)
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| Amount: | $8,119,170
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| Maturity: | Feb. 26, 2027
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the basket finishes at or above initial level, the greater of par plus 41.5% and par plus the basket return; if the basket declines but finishes at or above downside threshold, par plus the absolute value of the return; otherwise, 1% loss for every 1% decline of the basket from initial level
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| Initial levels: | 3,829.29 for Stoxx, 25,970.82 for Nikkei, 7,207.38 for FTSE, 11,636.76 for Swiss Market, 6,990.626 for S&P/ASX
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| Downside threshold: | 75% of initial basket level
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 28
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| Agents: | UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 22552J302
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