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

By Marisa Wong

Madison, Wis., June 28 - Credit Suisse AG, Nassau Branch plans to price 0% digital-plus barrier notes due Aug. 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 45% to 50% 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 July 31 and settle Aug. 5.

The Cusip number is 22547Q5G7.

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