Credit Suisse changes dates of absolute return barrier securities linked to S&P 500, Russell 2000

By Toni Weeks

San Diego, Oct. 10 - Credit Suisse AG, Nassau Branch changed the dates of its upcoming 0% absolute return barrier securities linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will price Oct. 18, settle Oct. 23 and mature Jan. 23, 2015. Previously, they were expected to price Oct. 10, settle Oct. 15 and mature Jan. 15, 2015.

A knock-in event will occur if either underlying index closes at or below its knock-in level, 60% of its initial level, on any day during the life of the notes.

If the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lower-performing index, subject to a maximum return of 23% to 27% that will be set at pricing.

If the final level of the lower-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of the lower-performing index's return.

If the final level of the lower-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lower-performing index.

Credit Suisse Securities (USA) LLC is the underwriter.

The Cusip number is 22546TZR5.

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