Credit Suisse plans buffered accelerated return notes on Russell 2000

By Marisa Wong

Madison, Wis., May 31 - Credit Suisse AG, Nassau Branch plans to price 0% accelerated return securities due June 30, 2014 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 200% of any index gain, subject to a maximum return of 26% to 30%. The exact upside participation rate and return cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1% for every 1% decline beyond the 10% buffer.

The securities (Cusip: 22546TTM3) are expected to price on June 26 and settle on June 29.

Credit Suisse Securities (USA) LLC is the underwriter.

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