By Angela McDaniels
Tacoma, Wash., March 2 - Credit Suisse AG, Nassau Branch priced $1.32 million of 0% digital barrier notes due April 2, 2013 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either underlying component closes at or below its knock-in level, 60% of its initial level, during the life of the notes.
The payout at maturity will be par plus the underlying return of the lowest-performing component.
If a knock-in event has not occurred, the underlying return of each component will be 11.5%.
If a knock-in event has occurred and the component's final level is greater than or equal to its initial level, its underlying return will be 11.5%.
If a knock-in event has occurred and the component's final level is less than its initial level but greater than or equal to its knock-in level, its underlying return will be the sum of its return plus 11.5%.
If a knock-in event has occurred and the component's final level is less than its knock-in level, its 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 components: | Russell 2000 index and Market Vectors Gold Miners ETF
|
| Amount: | $1,324,000
|
| Maturity: | April 2, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus underlying return of lowest-performing component
|
| Underlying return: | If knock-in event has not occurred, 11.5%; if knock-in event has occurred and component's final level is greater than or equal to initial level, 11.5%; if knock-in event has occurred and component's final level is less than initial level but greater than or equal to knock-in level, sum of return plus 11.5%; if knock-in event has occurred and component's final level is less than knock-in level, amount equal to its return
|
| Knock-in event: | Either underlying component closes at or below knock-in level during life of notes
|
| Initial levels: | 810.94 for index and $55.35 for ETF
|
| Knock-in levels: | 486.564 for index and $33.21 for ETF; 60% of initial levels
|
| Pricing date: | Feb. 29
|
| Settlement date: | March 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546TMC2
|
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