Credit Suisse plans four-year digital-plus barrier notes on S&P 500

By Toni Weeks

San Diego, Nov. 2 - Credit Suisse AG, Nassau Branch plans to price 0% digital-plus barrier notes due Nov. 30, 2016 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 22.5% to 27.5% and will be set at pricing.

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 notes (Cusip: 22546TH46) are expected to price on Nov. 27 and settle on Nov. 30.

Credit Suisse Securities (USA) LLC is the agent.

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