By Jennifer Chiou
New York, Feb. 21 - Credit Suisse AG, Nassau Branch priced $2.71 million of 0% digital barrier notes due May 24, 2013 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if the final level of either underlying index is less than or equal to its knock-in level, 70% of its initial level.
The payout at maturity will be par plus the underlying return of the lowest-performing index.
If a knock-in event does not occur, each index's underlying return will be 9%.
If a knock-in event does occur, each index's underlying return will be equal to its return.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Digital barrier notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $2.71 million
|
| Maturity: | May 24, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If both indexes finish above their knock-in levels, par plus 9%; otherwise, par plus the return of the lowest-performing index
|
| Initial index levels: | 828.68 for Russell 2000 and 1,361.23 for S&P 500
|
| Knock-in levels: | 580.076 for Russell 2000 and 952.861 for S&P 500; 70% of initial levels
|
| Pricing date: | Feb. 17
|
| Settlement date: | Feb. 27
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TMF5
|
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