Published on 9/22/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.15 million leveraged buffered notes on index basket
By Marisa Wong
Morgantown, W.Va., Sept. 22 – Credit Suisse AG, London Branch priced $2.15 million of 0% leveraged buffered notes due July 20, 2018 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 1.5 times the basket return, subject to a maximum settlement of $1,332.25 per $1,000 principal amount.
If the basket falls by up to 12.5%, the payout at maturity will be par. Otherwise, investors will lose 1.1429% for every 1% decline beyond the buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Leveraged buffered notes
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| Underlying indexes: | Euro Stoxx 50 (37% initial weight), FTSE 100 (23% initial weight), Tokyo Stock Price index (23% initial weight), Swiss Market (9% initial weight) and S&P/ASX 200 (8% initial weight)
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| Amount: | $2,146,000
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| Maturity: | July 20, 2018
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus 1.5 times any basket gain, up to $1,332.25 maximum payout per note; par if basket falls by up to 12.5%; 1.1429% loss for each 1% basket decline beyond 12.5%
|
| Initial levels: | 2,973.77 for Euro Stoxx, 6,730.30 for FTSE, 1,301.11 for Topix, 8,184.84 for Swiss Market and 5,239.860 for S&P/ASX
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 22
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22548QHB4
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