Published on 4/28/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $7.74 million leveraged buffered notes linked to index basket
By Marisa Wong
Madison, Wis., April 28 – Credit Suisse AG, London Branch priced $7.74 million of 0% leveraged buffered notes due June 29, 2017 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 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.
If the basket return is positive, the payout at maturity will be par plus 140% of the basket return, subject to a maximum settlement amount of $1,273 per $1,000 principal amount of notes. Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that it declines beyond 15%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Leveraged buffered notes
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| Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $7.74 million
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| Maturity: | June 29, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 140% of basket return, subject to maximum settlement amount of $1,273 per $1,000 principal amount of notes; par if basket declines by 15% or less; 1.1765% loss for every 1% that basket declines beyond 15%
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| Initial index levels: | 3,713.96 for Euro Stoxx 50, 7,070.70 for FTSE 100, 1,618.84 for Topix, 9,302.12 for Swiss Market and 5,933.291 for S&P/ASX 200
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| Pricing date: | April 24
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| Settlement date: | May 1
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22546VAY2
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