New Issue: Credit Suisse prices $2.26 million leveraged buffered notes tied to index basket

By Susanna Moon

Chicago, Aug. 10 – Credit Suisse AG, London Branch priced $2.26 million of 0% leveraged buffered notes due Nov. 6, 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 a 36% weight, the FTSE 100 index with a 20% weight, the Topix index with a 27% 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 240% of any basket gain, up to a maximum settlement amount of $1,459.60 for each $1,000 principal amount.

Investors will receive par if the basket falls by up to 20% and will lose 1.25% for each 1% drop beyond 20%.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Leveraged buffered notes
Underlying basket:	Euro Stoxx 50 index (36% weight), FTSE 100 index (20% weight), Topix index (27% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
Amount:	$2,256,000
Maturity:	Nov. 6, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 240% of any basket gain, capped at 45.96%; par if basket declines by up to 20%; 1.25% loss per 1% decline beyond 20%
Initial levels:	3,482.40 for Stoxx, 7,659.10 for FTSE, 1,742.58 for Topix, 9,158 for Swiss Market and 6,234.777 for S&P/ASX
Barrier levels:	85% of initial level
Pricing date:	Aug. 3
Settlement date:	Aug. 10
Agent:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22551L3P3

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