Credit Suisse plans leveraged buffered notes linked to index basket

By Toni Weeks

San Luis Obispo, Calif., July 24 – Credit Suisse AG, London Branch plans to price 0% leveraged buffered notes linked to a basket of equity 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 23.00% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.

The tenor of the notes is expected to be 23 to 26 months.

If the basket return is positive, the payout at maturity will be par plus 130% of the gain, subject to a maximum payout of $1,204.10 to $1,237.90 per $1,000 principal amount of notes.

Investors will receive par if the basket falls by up to 15% and lose 1.17647% for every 1% that the basket declines beyond 15%.

The exact maturity date and maximum settlement amount will be set at pricing.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price July 27.

The Cusip number is 22546VHK5.

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