Credit Suisse plans callable cert plus notes tied to S&P 500, Russell

By Susanna Moon

Chicago, Jan. 14 - Credit Suisse AG, Nassau Branch plans to price 0% callable cert plus securities due Jan. 26, 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 index finishes at or below its 70% knock-in level.

If the worst-performing index finishes above the initial level, the payout at maturity will be par plus at least 150% of the gain, with no cap on returns.

If the worst-performing index falls but a knock-in event has not occurred, the payout will be par.

Otherwise, the payout will be par plus the return with exposure to any losses.

The notes are callable at par plus a call return of 8% to 10% on Jan. 31, 2014.

The exact deal terms will be set at pricing.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Jan. 18 and settle on Jan. 24.

The Cusip number is 22546TU33.

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