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Credit Suisse plans leveraged buffered notes linked to index basket
By Toni Weeks
San Luis Obispo, Calif., Feb. 10 – Credit Suisse AG, London Branch plans to price 24- to 27-month 0% leveraged buffered notes 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, FTSE 100 index with a 23% weight, Topix index with a 23% weight, Swiss Market index with a 9% weight and 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 amount of $1,178.50 to $1,210 per $1,000 principal amount. The exact maximum payment will be set at pricing.
Investors will receive par if the basket declines by up to 10% and will lose 1.1111% for each 1% decline in the basket beyond the 10% buffer.
Credit Suisse Securities (USA) LLC is the agent.
The Cusip number is 22546V4U7.
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