By Susanna Moon
Chicago, Dec. 28 - Credit Suisse AG, Nassau Branch priced $721,000 of 0% absolute return barrier securities due March 30, 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 62.5% 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 17.5%.
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
|
| Issue: | Absolute return barrier securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $721,000
|
| Maturity: | March 30, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Plus any gain of lower-performing index, capped at 17.5%; 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
|
| Initial levels: | 1,426.66 for S&P, 844.74 for Russell
|
| Knock-in levels: | 891.6625 for S&P, 527.9625 for Russell; 62.5% of initial levels
|
| Pricing date: | Dec. 24
|
| Settlement date: | Dec. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TP70
|
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