Credit Suisse plans callable cert plus notes on S&P 500, Russell 2000

By Susanna Moon

Chicago, Feb. 3 - Credit Suisse AG plans to price 0% callable cert plus securities due March 7, 2016 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 worse performing index finishes above the initial level, the payout at maturity will be par plus 150% of the gain.

If the worse 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 9% to 11% on March 5, 2015.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price on Feb. 28 and settle on March 5.

The Cusip number is 22547QGW0.

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