Published on 8/10/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.22 million buffered return equity securities on ETF basket
By Wendy Van Sickle
Columbus, Ohio, Aug. 10 – Credit Suisse AG, London Branch priced $1.22 million of 0% buffered return equity securities due April 9, 2020 linked to a basket of funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket underliers are the SPDR S&P 500 ETF trust with a 35% weight, the WisdomTree Europe Hedged Equity fund with a 30% weight, the iShares MSCI Japan ETF with a 15% weight, the iShares MSCI Emerging Markets ETF with a 10% weight and the Energy Select Sector SPDR fund with a 10% weight.
If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return. If the basket declines by 20% or less, the payout will be par. Otherwise, investors will lose 1% for every 1% that the basket declines beyond 20%.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Buffered return equity securities
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| Basket components: | SPDR S&P 500 ETF trust (35% weight), WisdomTree Europe Hedged Equity fund (30% weight), iShares MSCI Japan ETF (15% weight), iShares MSCI Emerging Markets ETF (10% weight), Energy Select Sector SPDR fund (10% weight)
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| Amount: | $1,218,000
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| Maturity: | April 9, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket level is greater than initial level, par plus return; if basket declines by 20% or less, par; otherwise, 1% loss for every 1% that index declines beyond 20%
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| Initial underlier levels: | $218.14 for SPDR S&P 500 ETF trust, $52.68 for WisdomTree Europe Hedged Equity fund, $12.10 for iShares MSCI Japan ETF, $36.62 for iShares MSCI Emerging Markets ETF, $67.52 for Energy Select Sector SPDR fund
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| Pricing date: | Aug. 5
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| Settlement date: | Aug. 10
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22548QE35
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