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Credit Suisse to price digital barrier notes linked to Russell, S&P
By Angela McDaniels
Tacoma, Wash., Oct. 10 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Oct. 27, 2014 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if the final level of either underlying index is less than or equal to its knock-in level, which is expected to be 70% of its initial level.
The payout at maturity will be par plus the underlying return of the lowest-performing index.
If a knock-in event does not occur, each index's underlying return will be equal to the fixed payment percentage, which is expected to be 14% to 15% and will be set at pricing.
If a knock-in event does occur, each index's underlying return will be equal to its return.
The notes are expected to price Oct. 19 and settle Oct. 26.
Credit Suisse Securities (USA) LLC is the agent.
The Cusip number is 22546TD81.
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