Credit Suisse plans dual directional notes linked to S&P 500, Russell

By Angela McDaniels

Tacoma, Wash., March 13 - Credit Suisse AG, Nassau Branch plans to price 0% dual directional notes due March 31, 2014 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-out event will occur if either index closes at or below its knock-in level, 60% of its initial level, on any day during the life of the notes.

The return of each index will be subject to a cap. The cap is expected to be 34.5% to 38.5% and will be set at pricing.

If the final level of the worst-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the worst-performing index.

If the final level of the worst-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 worst-performing index.

If the final level of the worst-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 worst-performing index.

The notes (Cusip: 22546TPD7) are expected to price March 27 and settle March 30.

Credit Suisse Securities (USA) LLC is the agent.

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