Credit Suisse to price leveraged buffered notes linked to index basket

By Devika Patel

Knoxville, Tenn., Sept. 22 – Credit Suisse AG, London branch, plans to price 0% 21- to 24-month leveraged buffered notes linked to a basket of equity indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The exact maturity will be set at pricing.

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% 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 150% of the gain, subject to a maximum payout that is expected to fall between $1,290.70 and $1,341.85 per $1,000 of notes and will be set at pricing.

Investors will receive par if the basket falls by up to 12.5% and lose 1.142857% for every 1% that the basket declines beyond 12.5%.

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

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22548QHB4) are expected to price in September and settle five business days after pricing.

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