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Credit Suisse plans digital barrier notes linked to Russell 2000, S&P
By Angela McDaniels
Tacoma, Wash., Jan. 4 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Jan. 29, 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 8.5% to 10.5% 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: 22546TKQ3) are expected to price Jan. 20 and settle Jan. 27.
Credit Suisse Securities (USA) LLC is the agent.
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