New Issue: Credit Suisse prices $4.63 million digital plus barrier notes linked to S&P 500

By Toni Weeks

San Diego, Sept. 27 - Credit Suisse AG, Nassau Branch priced $4.63 million of 0% digital plus barrier notes due Sept. 30, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is equal to or greater than the initial level, the payout at maturity will be par plus the greater of the 34.7% fixed payment percentage and the index return.

If the final index level is less than the initial level and greater than the knock-in level - 70% of the initial level - the payout at maturity will be par.

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

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital plus barrier notes
Underlying index:	S&P 500
Amount:	$4,627,000
Maturity:	Sept. 30, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is equal to or greater than initial level, the payout at maturity will be par plus the greater of the index return and 34.7%; if final level is less than initial level and greater than knock-in level, par; if final level is less than or equal to knock-in level, full exposure to losses
Initial level:	1,136.43
Knock-in level:	795.501, 70% of initial level
Pricing date:	Sept. 23
Settlement date:	Sept. 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.75%
Cusip:	22546TEB3

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