Credit Suisse plans protected notes tied to CS Merger Arbitrage index

By Susanna Moon

Chicago, July 1 - Credit Suisse AG, Nassau Branch plans to price 0% CS notes due July 29, 2016 linked to the Credit Suisse Merger Arbitrage Liquid Risk Controlled index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 100% to 120% of any index gain, with the exact participation rate to be set at pricing.

If the index falls, the payout will be par.

The index is based on the Credit Suisse Merger Arbitrage Liquid Index (Excess Net), which consists of long positions in target stocks and short positions in acquirer stocks that are the subject of a transaction in which the acquirer intends to purchase the target in a transaction in which no new public company would be formed.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on July 25 and settle on July 29.

The Cusip is 22546TBT7.

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