Credit Suisse plans four-year digital barrier notes tied to S&P 500

By Toni Weeks

San Diego, Dec. 5 - Credit Suisse AG, Nassau Branch plans to price 0% digital barrier notes due Dec. 30, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the underlying return of the index.

The underlying return is equal to a fixed payment percentage of 34% to 38% unless a knock-in event occurs. A knock-in event occurs if the final level of the index is at or below its knock-in level, which is expected to be 70% of the initial level and will be set at pricing. The exact fixed payment percentage will also be determined at pricing.

If a knock-in event occurs, the underlying return will equal the index return. Investors will share fully in losses.

The notes (Cusip: 22546TJA0) are expected to price Dec. 23 and settle Dec. 30.

Credit Suisse Securities (USA) LLC is the agent.

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