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

By Marisa Wong

Madison, Wis., June 28 - Credit Suisse AG, Nassau Branch plans to price 0% digital-plus barrier notes due July 31, 2017 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 greater of the index return and the fixed payment percentage if the final index level is greater than or equal to the initial index level. The fixed payment percentage is expected to be 15% to 20% and will be set at pricing.

If the final index level is more than 70% of the initial index level but less than the initial level, the payout will be par. Investors will be fully exposed to the index's decline from the initial level if the final index level is 70% or less of the initial level.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price July 26 and settle July 31.

The Cusip number is 22547Q5H5.

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