Credit Suisse to sell digital barrier notes on S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., Nov. 2 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Dec. 24, 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 6% to 8% unless a knock-in event occurs and the index's final level is less than its initial level. A knock-in event occurs if the closing level of either index is at or below its knock-in level on any day during the life of the notes. The knock-in level is expected to be 50% 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 and an index's final level is less than its initial level but greater than or equal to its knock-in level, its underlying return will equal the index return plus the fixed payment percentage. If a knock-in event occurs and the final level is less than the knock-in level, the underlying return will equal the index return and investors will be fully exposed to losses.

The notes (Cusip: 22546TGM7) are expected to price Nov. 17 and settle Nov. 22.

Credit Suisse Securities (USA) LLC is the agent.

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