Credit Suisse to price 2% Bares with averaging linked to indexes, ETFs

By Angela McDaniels

Tacoma, Wash., Jan. 9 - Credit Suisse AG, Nassau Branch plans to price buffered accelerated return equity securities due Jan. 17, 2017 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 70% weight, the iShares MSCI EAFE index fund with a 15% weight, the S&P MidCap 400 index with an 8% weight, the iShares MSCI Emerging Markets index fund with a 4% weight and the Russell 2000 index with a 3% weight.

The notes are expected to have a 2% coupon, payable semiannually. The exact interest rate will be set at pricing.

If the final basket level is greater than or equal to 0.85, the payout at maturity will be par plus 100% to 110% of the averaging return, which will be the greater of (a) the average of the basket returns on each of the quarterly averaging dates and (b) zero. The exact upside participation rate will be set at pricing.

If the final basket level is less than 0.85, the payout will be par plus (a) the sum of the basket return and the buffer amount, expected to be 15%, and (b) the upside participation rate multiplied by the averaging return.

The prospectus notes that if the final basket level is less than the initial basket level by more than the buffer amount plus the product of the upside participation rate multiplied by the averaging return, investors will receive less than par.

The notes are expected to price Jan. 10 and settle Jan. 15.

Credit Suisse Securities (USA) LLC is the underwriter.

The Cusip number is 22546TT68.

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