By Susanna Moon
Chicago, Aug. 17 - Credit Suisse AG, Nassau Branch priced $1 million of 0% absolute return barrier notes due Feb. 23, 2015 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.
A knock-in event occurs if the index ever closes at or below the 70% barrier level during the life of the notes.
If the index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain, up to a maximum return of $1,262.50 for every $1,000 principal amount.
If the index falls but never dips to or below the barrier level, the payout at maturity will be par plus the absolute value of the index decline.
Otherwise, investors will be fully exposed to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Absolute return barrier securities
|
| Underlying index: | S&P 500
|
| Amount: | $1 million
|
| Maturity: | Feb. 23, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus 150% of return capped at 26.25%; if index falls but always closes above barrier level, par plus absolute return of losses; full exposure to losses if index ever falls to or below barrier
|
| Initial index level: | 1,415.51
|
| Barrier level: | 990.857, 70% of initial index level
|
| Pricing date: | Aug. 16
|
| Settlement date: | Aug. 21
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TXB2
|
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