Credit Suisse plans capped leveraged return notes tied to Russell 2000

By Susanna Moon

Chicago, July 27 - Credit Suisse AG, Nassau Branch plans to price Capped Leveraged Index Return Notes due August 2014 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Bank of America Merrill Lynch is the agent.

The payout at maturity will be par of $10.00 plus double any index gain, up to a maximum return of 26% to 30%. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.

The notes will price in August and settle in September.

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