Credit Suisse plans to price 0% Bares tied to Euro Stoxx 50, euro

By Toni Weeks

San Diego, Sept. 28 - Credit Suisse AG, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities linked to the Euro Stoxx 50 index and the euro relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature between Sept. 2, 2014 and Nov. 3, 2014.

The composite return will be the index return multiplied by the currency return. The redemption amount will be the principal amount held multiplied by the sum of 1 plus the underlying return.

If the composite return is at 0.85 or greater, the underlying return will be the greater of the fixed payment percentage and the composite return minus 1, subject to a cap that is expected to be 30%. The fixed payment percentage is expected to be 15% to 19%.

If the composite return is less than 0.85, the underlying return will be equal to the downside participation rate times the sum of composite return minus 1, plus the buffer amount. The downside participation rate is expected to be 117.65%.

The exact terms will be set at pricing.

The notes (Cusip: 22546TA35) are expected to price and settle in October.

Credit Suisse Securities (USA) LLC is the underwriter.

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