Credit Suisse to price digital-plus barrier notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., Sept. 27 - Credit Suisse AG plans to price 0% digital-plus barrier notes due April 25, 2019 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the greater of the fixed payment percentage and the index return. The fixed payment percentage is expected to be 40% to 45%.

If the final index level is greater than the knock-in level, expected to be 70% of the initial index level, but less than the initial level, the payout will be par.

If the final index level is less than or equal to the knock-in level, investors will be fully exposed to the index decline from the initial level.

The exact terms will be set at pricing.

The notes (Cusip: 22547QBG0) are expected to price Oct. 18 and settle Oct. 25.

Credit Suisse Securities (USA) LLC is the agent.

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