Credit Suisse plans digital-plus barrier notes on Russell, S&P 500

By Angela McDaniels

Tacoma, Wash., May 31 - Credit Suisse AG, Nassau Branch plans to price 0% digital-plus barrier notes due July 3, 2017 linked to the S&P 500 index and the Russell 2000 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 lowest-performing index.

If an index's final level is greater than or equal to its initial level, its underlying return will be the greater of the fixed payment percentage and the index's return. The fixed payment percentage is expected to be 40% to 45% and will be set at pricing.

If an index's final level is less than its initial level and a knock-in event occurs, its underlying return will equal its return. A knock-in event occurs if the final level of either index is less than or equal to its knock-in level, 70% of its initial level.

If an index's final level is less than its initial level and a knock-in event does not occur, its underlying return will be zero.

Credit Suisse Securities (USA) LLC is the agent.

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

The Cusip number is 22547Q3M6.

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