Credit Suisse plans autocallable buffered return notes tied to U.S. Steel

By Jennifer Chiou

New York, June 14 - Credit Suisse AG, Nassau Branch plans to price 0% autocallable buffered return equity securities due June 30, 2014 linked to United States Steel Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call return if the closing share price is greater than the initial share price on the June 26, 2013 review date. The call return is expected to be 21% to 24.5%.

If the notes are not called and the final share price is greater than or equal to the initial share price, the payout at maturity will be par plus the greater of the stock return and the fixed payment percentage, which is expected to be 42% to 49%.

Investors will receive par if the share price declines by the buffer amount - expected to be 20% - and will lose 1% for every 1% that it declines beyond the buffer amount.

The exact terms will be set at pricing.

The securities (Cusip: 22546TVG3) are expected to price on June 25 and settle on June 28.

Credit Suisse Securities (USA) LLC is the agent.

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