Published on 9/9/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $7.01 million leveraged buffered notes linked to index basket
By Marisa Wong
Morgantown, W.Va., Sept. 9 – Credit Suisse AG, London Branch priced $7.01 million of 0% leveraged buffered basket-linked notes due July 7, 2017 tied to a basket of 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.
If the basket return is positive, the payout at maturity will be par plus 1.4 times the basket gain, subject to a maximum settlement amount of $1,275.80 for each $1,000 of notes.
Investors will receive par if the basket falls by up to 12.5% and will lose 1.14286% for each 1% basket decline beyond the 12.5% buffer.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Leveraged buffered basket-linked notes
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Underlying basket: | 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
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Amount: | $7,011,000
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Maturity: | July 7, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket return is positive, par plus 140% of basket gain, with returns capped at 27.58%; par if basket falls by up to 12.5%; 1.14286% loss for each 1% decline beyond 12.5% buffer
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Initial levels: | 3,270.09 for Euro Stoxx, 6,194.10 for FTSE, 1,474.98 for Topix, 8,775.64 for Swiss Market and 5,027.799 for S&P/ASX
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Pricing date: | Sept. 3
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Settlement date: | Sept. 11
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546VLE4
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