Credit Suisse to price absolute return barrier notes on S&P, Russell

By Marisa Wong

Madison, Wis., May 1 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return barrier securities due May 30, 2014 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 will occur if either underlying index closes at or below its knock-in level, about 60% of its initial level, during the life of the notes. The exact knock-in level will be set at pricing.

If the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lower-performing index, subject to a maximum return of 24% to 28% that will be set at pricing.

If the final level of the lower-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of the lower-performing index's return.

If the final level of the lower-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lower-performing index.

The notes (Cusip: 22546TTC5) are expected to price May 23 and settle May 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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