Published on 1/14/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.97 million absolute return buffered notes on indexes, ETF
By Kiku Steinfeld
Chicago, Jan. 14 – Credit Suisse AG, London Branch priced $3.97 million of 0% absolute return buffered securities due Dec. 20, 2024 linked to the lowest performing of the S&P MidCap 400 index, the iShares Russell 2000 Value ETF and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each asset finishes at or above the initial level, the payout at maturity will be par plus 115% of the return of the worse performing asset.
If each asset finishes at or above the 90% buffer level, the payout will be par plus the absolute value of the return of the worse performing asset.
Otherwise, investors will lose 1% for each 1% decline of the least performing asset beyond the 10% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Absolute return buffered securities
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| Underliers: | iShares Russell 2000 Value ETF, S&P MidCap 400 and Russell 2000
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| Amount: | $3,974,000
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| Maturity: | Dec. 20, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each asset gains, par plus 115% of return of worse performing asset; if each asset finishes at or above buffer level, par plus the absolute value of return of worse performing asset; otherwise, exposure to any losses of worse performing asset beyond buffer
|
| Initial levels: | 2,728.08 for S&P, 2,173.931 for Russell, $159.98 for ETF
|
| Buffer levels: | 2,455.272 for S&P and 1,956.5379 for Russell, $143.982 for ETF; 90% of initial levels
|
| Pricing date: | Dec. 17
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| Settlement date: | Dec. 22
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.75%
|
| Cusip: | 22553PCJ6
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