By Marisa Wong
Madison, Wis., May 15 - Credit Suisse AG, Nassau Branch priced $2.43 million of 0% digital barrier notes due June 17, 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 13.8%.
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 zero.
If a knock-in event has occurred and the component's final level is less than its initial 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: | $2.43 million
|
| Maturity: | June 17, 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, 13.8%; if knock-in event has occurred and component's final level is greater than or equal to initial level, zero; if knock-in event has occurred and component's final level is less than initial 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: | 790.06 for index and $42.36 for ETF
|
| Knock-in levels: | 474.036 for index and $25.416 for ETF; 60% of initial levels
|
| Pricing date: | May 11
|
| Settlement date: | May 16
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TTL5
|
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