Credit Suisse plans digital barrier notes linked to ETF, S&P, Russell

By Angela McDaniels

Tacoma, Wash., May 9 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due June 3, 2015 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event will occur if the closing level of any underlying component falls to or below its knock-in level, which is expected to be 55% of its initial level, during the life of the notes.

If a knock-in event does not occur, the payout at maturity will be par plus the fixed payment percentage, which is expected to be 21% to 23% and will be set at pricing.

If a knock-in event does occur and the final level of the lowest-performing underlying component is greater than or equal to its initial level, the payout will be par.

If a knock-in event does occur and the final level of the lowest-performing underlying component is less than its initial level, investors will be exposed to the decline of the lowest- performing underlying component.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price May 30 and settle June 4.

The Cusip number is 22547Q2Q8.

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