By Susanna Moon
Chicago, June 29 - Credit Suisse AG, Nassau Branch priced $1 million of 0% CS notes due June 30, 2016 linked to the Credit Suisse Merger Arbitrage Liquid Risk Controlled index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 1.15 times any index gain.
If the index falls, the payout will be par.
The index is based on the Credit Suisse Merger Arbitrage Liquid Index (Excess Net), which consists of long positions in target stocks and short positions in acquirer stocks that are the subject of a transaction in which the acquirer intends to purchase the target in a transaction in which no new public company would be formed.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | CS notes
|
| Underlying index: | Credit Suisse Merger Arbitrage Liquid Risk Controlled index
|
| Amount: | $1 million
|
| Maturity: | June 30, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 115% of any index gain, floor of par
|
| Initial level: | 1,036.90
|
| Pricing date: | June 27
|
| Settlement date: | June 30
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.6%
|
| Cusip: | 22546TAL5
|
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