Published on 12/27/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.7 million trigger absolute return step notes on basket
By Wendy Van Sickle
Columbus, Ohio, Dec. 27 – Credit Suisse AG, London Branch priced $4.7 million of 0% trigger absolute return step securities due Dec. 24, 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 a 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 63%.
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.
RBC Capital Markets Corp. and UBS Financial Services Inc. are the agents.
| Issuer: | Royal Bank of Canada
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| Issue: | Trigger absolute return step securities
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| Underlying basket: | Euro Stoxx 50 (40% weight), FTSE 100 index (20% weight), Nikkei 225 index (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight) and Hang Seng index (5% weight)
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| Amount: | $4,700,780
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| Maturity: | Dec. 24, 2023
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If each index gains, par plus greater of 63% and index return; if index falls by up to 30%, par plus absolute return; otherwise, 1% loss per 1% decline
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| Initial index level: | 3,051.38 for Stoxx, 6,765.94 for FTSE, 20,987.92 for Nikkei, 8,540.16 for Swiss Market, 5,580.596 for S&P/ASX and 25,865.39 for Hang Seng
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| Downside thresholds: | 70% of initial levels
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 24
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| Agents: | UBS Financial Services Inc. and RBC Capital Markets Corp.
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| Fees: | 3%
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| Cusip: | 22549Y297
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