Credit Suisse plans 0% Bares due 2013 linked to SPDR Gold trust

By Susanna Moon

Chicago, Oct. 6 - Credit Suisse AG, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities due Nov. 1, 2013 based on the SPDR Gold trust, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any gain in the fund, up to an underlying return cap of 35% to 40%. The exact cap will be set at pricing.

Investors will receive par if the shares fall by up to 15% and will be exposed to any decline beyond 15%.

The notes (Cusip 22546EZA5) will price on Oct. 29 and settle on Nov. 3.

Credit Suisse Securities (USA) LLC will be the underwriter.

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