Credit Suisse plans absolute return barrier securities linked to Apple

By Toni Weeks

San Luis Obispo, Calif., March 7 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return barrier securities due April 14, 2014 linked to Apple Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if Apple stock closes at or below the knock-in price - expected to be 75% of the initial share price - during the life of the notes.

If the stock finishes at or above the initial price, the payout at maturity will be par plus the index return, up to a maximum return that is expected to be 22.5%.

If the stock finishes below the initial price and a knock-in event has not occurred, the payout will be par plus the absolute value of the stock return.

Otherwise, investors will receive for each $1,000 principal amount of shares a number of Apple shares equal to $1,000 divided by the initial share price, with fractional shares paid in cash.

The exact terms will be set at pricing.

The notes (Cusip: 22546T3U3) are expected to price March 11 and settle March 14.

Credit Suisse Securities (USA) LLC is the agent.

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