Credit Suisse plans to sell two-year 0% Bares linked to Russell 2000

By Susanna Moon

Chicago, June 29 - Credit Suisse AG, Nassau Branch plans to price 0% Buffered Accelerated Return Equity Securities due July 30, 2012 based on the performance of the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any index gain, up to a return cap of 22% to 30%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will be exposed to declines beyond 10%.

The notes will price on July 23 and settle on July 30.

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

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