By Susanna Moon
Chicago, Oct. 22 - Credit Suisse AG, Nassau Branch priced $742,000 of 0% absolute return barrier securities due Jan. 23, 2015 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 occurs if either underlying index closes at or below its 60% knock-in level on any day during the life of the notes.
If the lower-performing index finishes at or above the knock-in level, the payout at maturity will be par plus the return of the lower-performing index, up to a maximum return of 23%.
If the lower-performing index falls and a knock-in event has not occurred, the payout will be par plus the absolute value of the return of the lower-performing index.
If the lower-performing index falls and a knock-in event has occurred, investors will be fully exposed to losses of the lower-performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Absolute return barrier securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $742,000
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Maturity: | Jan. 23, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Plus any gain of lower-performing index, capped at 23%; if lower-performing index falls and but never dips below knock-in level, par plus absolute value of lower-performing index return; otherwise, full exposure to losses of lower-performing index
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Initial levels: | 1,457.34 for S&P, 837.12 for Russell
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Knock-in levels: | 874.404 for S&P, 502.272 for Russell; 60% of initial levels
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Pricing date: | Oct. 18
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Settlement date: | Oct. 23
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3%
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Cusip: | 22546TZR5
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