Credit Suisse plans five-year annual coupon CS notes tied to 10 stocks

By Susanna Moon

Chicago, May 18 - Credit Suisse AG, Nassau Branch plans to price annual coupon CS notes due June 8, 2017 linked to a basket of 10 equally weighted common stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying companies are 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.

The coupon will be 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%. Interest is payable annually.

A basket component's return on any valuation day is equal to a fixed percentage of 5% 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 payout at maturity will be par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on June 4 and settle on June 7.

The Cusip number is 22546TTW1.

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