Credit Suisse leads session with $85.02 million of leveraged buffered S&P 500-linked notes

By Sheri Kasprzak

New York, Oct. 13 – Credit Suisse AG, London Branch led the charge for structured products pricings with an $85.02 million offering of zero-coupon leveraged buffered notes linked to the S&P 500 index.

The notes, due Feb. 7, 2018, pay par plus 200% of the gain if the index return is positive, subject to a maximum settlement amount of $1,245 for each $1,000 principal amount of notes, said a filing with the Securities and Exchange Commission.

Investors receive par if the index falls by up to 10% and lose 1.1111% for every 1% the index declines beyond 10%.

Credit Suisse Securities (USA) LLC was the underwriter for the deal.

The S&P 500 fell by 13.77 to close at 2,003.69 on Tuesday. Over the past two years, the index has gained 18%.

RBC readies notes

Looking ahead, Royal Bank of Canada announced plans Tuesday to price zero-coupon leveraged buffered notes linked to a basket of indices, said an SEC filing.

The basket includes the Euro Stoxx 50 index at a 37% weight, the FTSE 100 index at a 23% weight, the Topix index with a 23% weight, the Swiss Market index at a 9% weight and the S&P/ASX 200 index at an 8% weight.

The notes will have a 25- to 28-month life.

Payout at maturity will be par plus 1.5 times any basket gain up to a maximum settlement amount of $1,240 to $1,282 for each $1,000 principal amount. The exact cap will be set at pricing.

Investors receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond 15%.

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