Credit Suisse plans capped leveraged buffered notes on index basket

By Marisa Wong

Madison, Wis., Nov. 7 – Credit Suisse AG, London Branch plans to price 0% leveraged buffered notes linked to an unequally weighted 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 37% weight, the FTSE 100 index with a 23% weight, the Tokyo Stock Price 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 notes will mature 24 to 27 months after issuance.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, subject to the maximum settlement amount of $1,156 to $1,183 per $1,000 principal amount.

If the basket return is zero or negative but at least negative 10%, the payout will be par.

If the basket return is less than negative 10%, investors will lose 1.1111% for every 1% decline beyond 10%.

The exact deal terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Nov. 11.

The Cusip number is 22547QVX1.

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