Published on 2/18/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.33 million of leveraged buffered notes linked to index basket
By Wendy Van Sickle
Columbus, Ohio, Feb. 18 – Credit Suisse AG, London Branch priced $4.33 million of 0% leveraged buffered notes due Dec. 15, 2017 linked to a basket of five indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket is made up of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index, also with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 150% of the gain, subject to a maximum payout of $1,279.75 per $1,000 of notes.
Investors will receive par if the basket falls by up to 15% and will lose 1.17647% for every 1% that the basket declines beyond 15%.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Leveraged buffered notes
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Basket components: | Euro Stoxx 50 index, 37% weight; FTSE 100 index, 23% weight; Topix index, 23% weight; Swiss Market index, 9% weight; S&P/ASX 200 index, 8% weight
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Amount: | $4,331,000
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Maturity: | Dec. 15, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 150% of any basket gain, up to $1,279.75 maximum settlement; par if index falls by 15% or less; 1.17647% loss for every 1% decline beyond 15%
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Initial index levels: | 2,756.16 for Stoxx; 5,707.60 for FTSE; 1,196.28 for Topix; 7,656.60 for Swiss Market; 4,765.346 for S&P/ASX
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Pricing date: | Feb. 12
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Settlement date: | Feb. 18
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546VTY2
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