Credit Suisse plans digital-plus barrier notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., May 29 – Credit Suisse AG plans to price 0% digital-plus barrier notes due July 6, 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, which may be negative.

If an index finishes at or above its initial level, its underlying return will be the greater of the fixed payment percentage, which is expected to be 13% to 15% and will be set at pricing, and that index’s return.

If an index finishes below its initial index level but a knock-in event has not occurred, its underlying return will be zero. A knock-in event occurs if either index finishes below its knock-in level, 75% of its initial index level.

If an index finishes below its initial level and a knock-in event has occurred, its underlying return will be equal to its return.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price June 30 and settle July 6.

The Cusip number is 22546VEN2.

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