Credit Suisse to price 0% barrier return autocallables tied to Apple

By Toni Weeks

San Diego, Aug. 31 - Credit Suisse AG, Nassau Branch plans to price 0% autocallable barrier return securities due Sept. 25, 2014 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission.

A trigger event will occur if the closing share price is equal to or greater than the initial share price on the Sept. 23, 2013 review date.

If a trigger event occurs, the notes will be automatically redeemed at par plus the call return, which is expected to be 12% to 14%.

If the notes are not called and the final share price is greater than or equal to the initial price, the payout at maturity will be par plus the greater of the stock return and a fixed payment of 24% to 28%.

Investors will receive par if the share price falls by up to 30% and will be fully exposed to losses from the initial price if it falls 30% or more.

The exact terms will be set at pricing.

The notes (Cusip: 22546TYD7) will price on Sept. 20 and settle on Sept. 25.

Credit Suisse Securities (USA) LLC will act as agent.

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