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Credit Suisse plans digital-plus barrier notes on S&P 500, Russell
New York, Oct. 31 - Credit Suisse AG, Nassau Branch plans to price 0% digital-plus barrier notes due Nov. 22, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the underlying return of the worst-performing index.
If an index appreciates, its underlying return will be the greater of its return and a fixed payment percentage of 25% to 30% that will be set at pricing.
In an index declines, its underlying return will be zero if a knock-in event occurs. Otherwise, its underlying return will be equal to its return.
A knock-in event occurs if the final level of either index is equal to or less than its knock-in level, which is expected to be 70% of its initial level.
The notes (Cusip: 22546TGJ4) are expected to price Nov. 17 and settle Nov. 22.
Credit Suisse Securities (USA) LLC is the agent.
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