Credit Suisse to price leveraged buffered notes linked to index basket

By Jennifer Chiou

New York, Dec. 26 – Credit Suisse AG, London Branch plans to price 0% leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature between 36 and 39 months after pricing.

The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.

The payout at maturity will be par plus 1.1 to 1.2 times any basket gain.

Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.

The exact deal terms will be set at pricing.

The notes (Cusip: 22547QZQ2) will price in December.

Credit Suisse Securities (USA) LLC is the agent.

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