Published on 6/22/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.04 million leveraged buffered notes on indexes
By Marisa Wong
Madison, Wis., June 22 – Credit Suisse AG, London Branch priced $6.04 million of 0% leveraged buffered notes due April 21, 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, FTSE 100 index with a 23% weight, Topix index with a 23% weight, Swiss Market index with a 9% weight and S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 1.4 times the basket return, subject to a maximum settlement amount of $1,208.60 per $1,000 principal amount.
Investors will receive par if the basket declines by up to 12.5% and will lose 1.1429% for each 1% decline in the basket beyond the 12.5% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Leveraged buffered notes
|
| 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)
|
| Amount: | $6.04 million
|
| Maturity: | April 21, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 140% of basket return, subject to maximum settlement amount of $1,208.60 per $1,000 principal amount of notes; par if basket declines by 12.5% or less; 1.1429% loss for every 1% that basket declines beyond 12.5%
|
| Initial index levels: | 3,450.45 for Euro Stoxx, 6,707.88 for FTSE, 1,616.66 for Topix, 8,880.29 for Swiss Market and 5,524.892 for S&P/ASX 200
|
| Pricing date: | June 18
|
| Settlement date: | June 25
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546VFL5
|
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