Credit Suisse plans to sell digital barrier notes tied to S&P, Russell

By Marisa Wong

Madison, Wis., Nov. 2 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Dec. 28, 2012 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 worse performing index.

The underlying return for each index is equal to a fixed payment percentage of 9% to 11% unless a knock-in event occurs. A knock-in event occurs if the final level of either index is at or below its knock-in level, which is expected to be 70% of the initial level and will be set at pricing. The exact fixed payment percentage will also be determined at pricing.

If a knock-in event occurs, the underlying return will equal the index return. Investors will share fully in losses.

The notes (Cusip: 22546TFW6) are expected to price Nov. 18 and settle Nov. 28.

Credit Suisse Securities (USA) LLC is the agent.

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