New Issue: Credit Suisse sells $3.36 million digital plus barrier notes on S&P 500

By Marisa Wong

Madison, Wis., May 22 - Credit Suisse AG, Nassau Branch priced $3.36 million of 0% digital plus barrier notes due May 25, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above the initial level, the payout at maturity will be par plus the greater of the index return and the 38.5% fixed payment.

Investors will receive par if the index falls by up to 30% and will be exposed to any losses beyond 30%.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital plus barrier notes
Underlying index:	S&P 500
Amount:	$3,361,000
Maturity:	May 25, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains or stay flat, par plus return, floor of 38.5%; par if index falls by up to 30% and exposure to losses beyond 30%
Initial level:	1,295.22
Knock-in level:	906.654, or 70% of initial level
Pricing date:	May 18
Settlement date:	May 25
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.75%
Cusip:	22546TSY8

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