By Angela McDaniels
Tacoma, Wash., Oct. 27 - Credit Suisse AG, Nassau Branch priced $362,000 of 0% digital plus barrier notes due Oct. 31, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the lowest-performing index's final level is greater than its initial level, the payout at maturity will be par plus the greater of that's index return and 27.5%.
If the lowest-performing index's final level is less than or equal to its initial level, the payout will be par if a knock-out event has not occurred. If a knock-out event has occurred, investors will be fully exposed to the lowest-performing index's decline from its initial level.
A knock-out event occurs if the final level of either underlying index is less than or equal to 70% of its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Digital plus barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $362,000
|
| Maturity: | Oct. 31, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If lowest-performing index's final level is greater than its initial level, par plus greater of index return and 27.5%; if lowest-performing index's final level is less than or equal to its initial level and knock-out event has not occurred, par; otherwise, full exposure to decline of lowest-performing index's final level from its initial level
|
| Knock-out event: | If final level of either underlying index is less than or equal to its knock-in level
|
| Initial levels: | 1,242.00 for S&P 500 and 727.15 for Russell 2000
|
| Knock-in levels: | 869.400 for S&P 500 and 509.005 for Russell 2000; 70% of initial levels
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22546TFG1
|
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