Credit Suisse plans three-year digital buffered notes on S&P, Russell

By Devika Patel

Knoxville, Tenn., Sept. 22 – Credit Suisse AG, London Branch plans to price 0% digital buffered notes due Oct. 3, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.

If the final index level of the worse performing index is greater than or equal to its initial index level, the payout at maturity will be par plus the fixed payment percentage, which is expected to be 24.5% to 26.5% and will be set at pricing. If the worse performing index falls by up to 20%, investors will receive par. Otherwise, investors will lose 1% for every 1% that the worse performing index declines beyond 20%.

Credit Suisse Securities (USA) LLC is the agent.

The notes (Cusip: 22548QFW0) are expected to price Sept. 30 and settle Oct. 5.

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