Credit Suisse to price annual coupon CS notes linked to 10 stocks

By Toni Weeks

San Diego, April 10 - Credit Suisse AG, Nassau Branch plans to price annual coupon CS notes due May 5, 2017 linked to a basket of 10 common stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The equally-weighted basket includes Altria Group, Inc., Amazon.com, Inc., Archer-Daniels-Midland Co., Avon Products, Inc., Charles Schwab Corp., Eli Lilly and Co., Freeport-McMoRan Copper & Gold Inc., Intel Corp., Valero Energy Corp. and Verizon Communications Inc.

Investors will receive an annual contingent coupon equal to the sum of the component returns of each basket stock on the valuation date immediately preceding the coupon payment date, subject to a floor of 0.5%.

A basket component's return on any valuation day is equal to a fixed percentage of 5% to 6% if its underlying stock return is zero or positive. Otherwise, the component return will equal the greater of the underlying stock return and negative 30%. The exact fixed percentage and floor will be determined at pricing.

The payout at maturity will be par.

The notes (Cusip: 22546TQX2) are expected to price May 2 and settle May 7.

Credit Suisse Securities (USA) LLC is the agent.

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