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Credit Suisse to price five-year Bares linked to S&P 500, two ETFs
By Wendy Van Sickle
Columbus, Ohio, March 2 – Credit Suisse AG, London Branch plans to price 0% Buffered Accelerated Return Equity Securities due March 15, 2021 linked to a weighted basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the S&P 500 index with a 65% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 15% weight.
If the basket return is positive, the payout at maturity will be par plus about 175% of the basket return, subject to a maximum return expected to be 80% to 85%. The exact participation rate and cap will be set at pricing.
Investors will receive par if the basket falls by up to 20% and lose 1% for every 1% decline in the basket beyond 20%.
Credit Suisse Securities (USA) LLC is the underwriter.
The notes will price on March 7 and settle on March 14.
The Cusip number is 22546VYC4.
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