Credit Suisse to price digital plus barrier notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Aug. 26 - Credit Suisse AG, Nassau Branch plans to price 0% digital plus barrier notes due Oct. 5, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus the greater of the fixed payment percentage and the index return. The fixed payment percentage is expected to be 43% to 45% and will be set at pricing.

If the final index level is less than the initial level and greater than the knock-in level, the payout at maturity will be par. The knock-in level is expected to be 70% of the initial level and will be set at pricing.

If the final index level is less than or equal to the knock-in level, investors will be exposed to the decline from the initial level.

The notes (Cusip: 22546TEC1) are expected to price Sept. 30 and settle Oct. 5.

Credit Suisse Securities (USA) LLC is the agent.

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