Credit Suisse plans daily redeemable notes tied to S&P 500 VIX Futures

By Angela McDaniels

Tacoma, Wash., May 24 - Credit Suisse AG, Nassau Branch plans to price 0% daily redeemable notes due June 4, 2018 linked to the S&P 500 VIX Futures Variable Long/Short Index TR - Short Term, according to a 424B2 filing with the Securities and Exchange Commission.

The index is designed to achieve positive returns from trending decreases or increases in the prices of futures contracts on the CBOE Volatility index, or VIX index, with a constant weighted average maturity of one month.

The notes are callable at any time, and they are putable at any time subject to a minimum of 100 notes. The minimum early redemption quantity may be reduced by Credit Suisse from time to time. Holders who put back their notes may have to pay an early redemption charge equal to (a) the closing indicative value times (b) the greater of (i) 1.25% times the number of calendar days remaining until May 29, 2014 divided by 365 and (ii) 0.05%.

The payout upon redemption or at maturity will be a cash payment equal to the closing indicative value of the notes.

The closing indicative value on the pricing date will be $1,000. On subsequent days, it will equal (a) (i) the closing indicative value on the immediately preceding calendar day times (ii) the daily index factor on that calendar day minus (b) the daily investor fee.

The closing indicative value will never be less than zero. If it is equal to zero on any trading day, the closing indicative value on that day and on all future days will be zero.

The daily index factor equals the closing level of the index on that trading days divided by its closing level on the immediately preceding trading day. On any day that is not a trading day, it will equal 1.

The daily investor fee equals (a) the closing indicative value on the immediately preceding calendar day times (b) the daily index factor on that day times (c) (i) 1.25% divided by (ii) 365.

The notes will not be listed on any securities exchange.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price May 29 and settle June 3.

The Cusip number is 22547Q2V7.

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