Credit Suisse plans digital barrier notes on indexes, Gold Miners ETF

By Angela McDaniels

Tacoma, Wash., May 31 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due July 2, 2015 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if any underlying component closes at or below its knock-in level, 55% of its initial level, on any day during the life of the notes.

The payout at maturity will be par plus the underlying return of the lowest-performing underlying component.

If a knock-in event has not occurred, the underlying return for each underlying component will equal the fixed payment percentage, which is expected to be 22% to 24% and will be set at pricing.

If a knock-in event occurs and the final level of an underlying component is greater than or equal to its initial level, the underlying return for that underlying component will be zero.

If a knock-in event occurs and the final level of an underlying component is less than its initial level, the underlying return for that underlying component will be equal to its return.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price June 28 and settle July 3.

The Cusip number is 22547Q2U9.

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