Credit Suisse plans buffered enhanced notes linked to Euro Stoxx 50

By Marisa Wong

Madison, Wis., Dec. 20 - Credit Suisse AG, Nassau Branch plans to price 0% buffered enhanced return equity securities due in 18 to 21 months linked to the performance of the Euro Stoxx 50 index and the euro relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the underlying return.

If the composite return - the index return times the currency return - is at least 1, the underlying return will be 150% of the composite return, subject to an underlying return cap of 27% to 32% that will be set at pricing.

If the composite return is less than 1 but greater than or equal to 0.85, the underlying return will equal zero.

Otherwise, the underlying return will be 117.65% times every 1% drop beyond 15%.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22546TQ20) will price and settle in December.

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