Credit Suisse to price Accelerated Return Notes linked to index basket

By Marisa Wong

Madison, Wis., July 6 – Credit Suisse AG plans to price 0% Accelerated Return Notes due September 2016 linked to a basket of indexes, unequally weighted, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.

The payout at maturity will be par plus 300% of any basket gain, subject to a maximum return of 10% to 14% that will be set at pricing. Investors will be fully exposed to any losses if the basket declines.

The final basket level will be the average of the basket levels on five trading days shortly before maturity.

The notes will price in July and settle in August.

BofA Merrill Lynch is the underwriter.

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