New Issue: Credit Suisse prices $688,000 digital plus barrier notes on S&P 500

By Marisa Wong

Madison, Wis., July 30 - Credit Suisse, Nassau Branch priced $688,000 of 0% digital plus barrier notes due July 29, 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 its initial level, the payout at maturity will be par plus the greater of the index gain and 32%.

Investors will receive par if the index falls by up to 30% and will lose 1% for every 1% decline from the initial level if the index falls by 30% or more.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital plus barrier notes
Underlying index:	S&P 500
Amount:	$688,000
Maturity:	July 29, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains, par plus return, floor of 32%; par if index falls by up to 30%; full exposure to losses if index falls by 30% or more
Initial level:	1,360.02
Knock-in level:	952.014, 70% of initial level
Pricing date:	July 26
Settlement date:	July 31
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.75%, up to 0.55% for referral fees
Cusip:	22546TVV0

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