By Angela McDaniels
Tacoma, Wash., Dec. 20 - Credit Suisse AG, Nassau Branch priced $705,000 of 0% digital barrier notes due Jan. 22, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either index closes at or below its knock-in level - 50% of its initial level - on any day during the life of the notes.
If a knock-in event has not occurred, the payout at maturity will be par plus 7.25%.
If a knock-in event occurs, the payout will be:
• Par plus 7.25% if the lowest-performing index's final level is greater than or equal to its initial level;
• Par plus 7.25% minus the decline of the lowest-performing index if that index's final level is less than its initial level but greater than or equal to its knock-in level; or
• Par minus the decline of the lowest-performing index if that index's final level is less than its knock-in level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Digital barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $705,000
|
| Maturity: | Jan. 22, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 7.25% if knock-in event does not occur; par plus 7.25% if knock-in event occurs but lowest-performing index finishes at or above initial level; par plus 7.25% minus decline of lowest-performing index if knock-in event occurs and lowest-performing index finishes at or above knock-in level but below initial level; par minus decline of lowest-performing index if knock-in event occurs and lowest-performing index finishes below its knock-in level
|
| Knock-in event: | Either index closes at or below its knock-in level during life of notes
|
| Initial index levels: | 1,219.66 for S&P 500 and 722.05 for Russell 2000
|
| Knock-in levels: | 609.83 for S&P 500 and 361.025 for Russell 2000; 50% of initial levels
|
| Pricing date: | Dec. 16
|
| Settlement date: | Dec. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546THR5
|
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