Credit Suisse plans buffered participation equity notes on S&P 500

By Jennifer Chiou

New York, March 7 - Credit Suisse AG, Nassau Branch plans to price 0% buffered participation equity securities linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature 19 to 21 months after pricing.

If the final level is at or greater than the initial level, the payout at maturity will be par plus the return, capped at 12% to 14%.

Investors will receive par for losses up to 10% and will lose 1.1111% per 1% drop beyond the buffer.

The exact terms will be set at pricing.

The notes (Cusip: 22546T3K5) will price and settle in March.

Credit Suisse Securities (USA) LLC is the agent.

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