Credit Suisse eyes trigger absolute return step notes on index basket

By Sarah Lizee

Olympia, Wash., Dec. 11 – Credit Suisse AG, London Branch plans to price 0% trigger absolute return step securities due Dec. 29, 2023 linked to a basket of six indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with an 7.5% weight and the Hang Seng index with a 5% weight.

If the final basket level is greater than or equal to the initial level, the payout at maturity will be par of $10 plus the greater of the step return and the basket return. The step return is expected to be 54.5% to 58.5% and will be set at pricing.

If the final basket level is less than the initial level but greater than or equal to the downside threshold level, 70% of the initial level, the payout will be par plus the absolute value of the basket return.

If the final level is less than the downside threshold level, investors will lose 1% for every 1% that the final level is less than the initial level.

UBS Financial Services Inc. is the agent.

The notes (Cusip: 22549Y198) will price on Dec. 27.

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