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Credit Suisse eyes market-linked step-up notes tied to index basket
By Sarah Lizee
Olympia, Wash., Oct. 26 – Credit Suisse AG, London Branch plans to price market-linked step-up notes due November 2020 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei Stock Average index with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the Hang Seng index with an initial weight of 5%.
If the index finishes at or above the step-up value – 127% to 133% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 27% to 33%.
Otherwise, investors will lose 1% for each 1% decline.
BofA Merrill Lynch is the agent.
The notes will price in November and settle in December.
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