Credit Suisse plans absolute return barrier notes linked to S&P 500, Russell

By Susanna Moon

Chicago, Nov. 5 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return barrier securities due March 2, 2015 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either underlying index closes at or below its 62.5% knock-in level on any day during the life of the notes.

If the lower-performing index finishes at or above the knock-in level, the payout at maturity will be par plus the return of the lower-performing index, up to a maximum return of 24% to 28%.

If the lower-performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the lower-performing index.

If the lower-performing index falls and a knock-in event has occurred, investors will be fully exposed to losses of the lower-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Nov. 26 and settle on Nov. 29.

The Cusip number is 22546TH95.

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