Credit Suisse plans leveraged buffered notes tied to index basket

By Sarah Lizee

Olympia, Wash., Jan. 8 – Credit Suisse AG, London branch plans to price 0% leveraged buffered notes due in 20 to 23 months 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 36% weight, the FTSE 100 index with a 20% weight, the Topix index with a 27% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.

The payout at maturity will be par plus 300% of any basket gain, up to a maximum settlement amount of $1,335.10 for each $1,000 principal amount.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% drop beyond 10%.

Credit Suisse Securities (USA) LLC is the underwriter.

The Cusip number is 22551LT26.

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