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

By Toni Weeks

San Luis Obispo, Calif., May 28 - Credit Suisse AG plans to price 0% digital-plus barrier notes due July 5, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing index on the June 29, 2018 valuation date is greater than or equal to its initial index level, the payout at maturity will be par plus the greater of the fixed payment percentage and the return of the lowest-performing index. The fixed payment percentage is expected to be 32.5% to 37.5% and will be set at pricing.

If the lowest-performing index falls by up to 30%, the payout at maturity will be par. If either index falls by 30% or more, investors will be fully exposed to the decline in the lowest-performing index from the initial index level.

The notes (Cusip: 22547QNJ1) are expected to price June 30 and settle July 3.

Credit Suisse Securities (USA) LLC is the agent.

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