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

By Jennifer Chiou

New York, March 1 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due July 1, 2013 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 either underlying index finishes at or below its knock-in level, which will 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 has not occurred, the underlying return of each index will be equal to the fixed percentage, which is expected to be 9.5% to 11% and will be set at pricing.

If a knock-in event has occurred, the underlying return of each index will be the quotient of (a) its final level minus its initial level divided by (b) its initial level.

The notes (Cusip: 22546TNP2) will price on March 23 and settle on March 30.

Credit Suisse Securities (USA) LLC is the agent.

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