Published on 6/28/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.03 million absolute return buffered notes on Stoxx, EAFE
By Kiku Steinfeld
Chicago, June 28 – Credit Suisse AG, London Branch priced $1.03 million of 0% absolute return buffered securities due Dec. 21, 2023 linked to the worse performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying finishes at or above its initial level, the payout at maturity will be par plus 130% of the return of the lesser performing underlying, capped at 29%.
If the lesser performing underlying falls by up to 10%, the payout will be par plus the absolute value of the return of the lesser performing underlying.
If the lesser performing underlying falls by more than 10%, investors will lose 1% for every 1% decline of the lesser performing underlying beyond 10%.
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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Underlyings: | Euro Stoxx 50 index, iShares MSCI EAFE ETF
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Amount: | $1,025,000
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Maturity: | Dec. 21, 2023
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each underlying finishes at or above its initial level, par plus 130% of the return of the lesser performing underlying, capped at 29%; if the lesser performing underlying falls by up to 10%, par plus the absolute value of the return of the lesser performing underlying; otherwise, 1% loss for every 1% decline of the lesser performing underlying beyond 10%
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Initial levels: | 4083.37 for index, $78.52 for ETF
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Buffer: | 3675.033 for index, $70.668 for ETF; 90% of initial levels
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Pricing date: | June 18
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Settlement date: | June 23
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.75%
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Cusip: | 22552XNE9
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