Credit Suisse plans digital plus barrier notes linked to two indexes

By Angela McDaniels

Tacoma, Wash., Sept. 29 - Credit Suisse AG, Nassau Branch plans to price 0% digital plus barrier notes due Oct. 31, 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 based on the level of the index with the lowest return. If that index's final level is greater than or equal to its initial level, the payout will be par plus the greater of the fixed payment percentage and the index return. The fixed payment percentage is expected to be 25% to 30% and will be set at pricing.

If that's index's final level is less than its initial level and greater than the knock-in level, the payout at maturity will be par. The knock-in level is expected to be 70% of the initial level and will be set at pricing.

If that index's final level is less than or equal to the knock-in level, investors will be exposed to the decline from the initial level.

The notes (Cusip: 22546TFG1) are expected to price Oct. 26 and settle Oct. 31.

Credit Suisse Securities (USA) LLC is the agent.

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