Published on 3/9/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.46 million leveraged buffered notes linked to index basket
By Susanna Moon
Chicago, March 9 – Credit Suisse AG, London Branch priced $5.46 million of 0% leveraged buffered notes due March 8, 2018 linked to a basket of five 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.
The payout at maturity will be par plus 150% of any index gain, up to a maximum payout of $1,301.50 per $1,000 of notes.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Leveraged buffered notes
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Basket components: | Euro Stoxx 50 index (37% weight), FTSE 100 index, (23% weight), Topix index (23% weight), Swiss Market index (9% weight), S&P/ASX 200 index (8% weight)
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Amount: | $5.46 million
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Maturity: | March 8, 2018
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 150% of any basket gain, capped at 30.15%; par if index falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
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Initial index levels: | 3,037.35 for Stoxx, 6,199.43 for FTSE, 1,375.35 for Topix, 7,982.57 for Swiss Market and 5,090.025 for S&P/ASX
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Pricing date: | March 4
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Settlement date: | March 11
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2%
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Cusip: | 22546VXG6
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