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

By Angela McDaniels

Tacoma, Wash., March 16 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return notes due April 4, 2014 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each index's return will be subject to a cap of 24% to 26%. The exact cap will be set at pricing.

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

If the final level of the lowest-performing index is less than its initial level but is greater than or equal to its knock-in level, 70% of its initial level, the payout will be par plus the absolute value of the lowest-performing index's return.

If the final level of the lowest-performing index is less than or equal to its knock-in level, investors will be fully exposed to the decline of the lowest-performing index from its initial level.

The notes (Cusip: 22546TNZ0) are expected to price March 30 and settle April 4.

Credit Suisse Securities (USA) LLC is the underwriter.

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