Credit Suisse plans digital barrier notes linked to Russell 2000, S&P

By Angela McDaniels

Tacoma, Wash., Dec. 30 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Jan. 25, 2013 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 - 55% of its initial level - on any day during the life of the notes.

The payout at maturity will be par plus the underlying return of the lowest-performing index.

For each index, the underlying return will be

• Equal to the fixed percentage if a knock-in event has not occurred. The fixed percentage is expected to be 6% to 8% and will be set at pricing;

• Equal to the fixed percentage if a knock-in event has occurred and that index's final level is greater than or equal to its initial level;

• The sum of the index's return plus the fixed percentage if its final level is less than its initial level but greater than or equal to its knock-in level; or

• Equal to the index's return if its final level is less than its knock-in level.

The notes (Cusip: 22546TKB6) are expected to price Jan. 18 and settle Jan. 23.

Credit Suisse Securities (USA) LLC is the agent.

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