By Toni Weeks
San Diego, June 21 - Credit Suisse AG, Nassau Branch plans to price 0% absolute return barrier securities due June 24, 2014 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 will occur if either underlying index closes at or below its knock-in level, 60% of its initial level, on any day during the life of the notes.
If the final level of the lower-performing index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lower-performing index, subject to a maximum return of 30%.
If the final level of the lower-performing index is less than its initial level and a knock-in event has not occurred, the payout will be par plus the absolute value of the lower-performing index's return.
If the final level of the lower-performing index is less than its initial level and a knock-in event has occurred, investors will be fully exposed to the decline 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: | $587,000
|
| Maturity: | June 24, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If return of lower-performing index is zero or positive, par plus return of lower-performing index, subject to maximum return of 30%; if return of lower-performing index is negative and knock-in event has not occurred, par plus absolute value of lower-performing index's return; if return of lower-performing index is negative and knock-in event has occurred, full exposure to decline in lower-performing index
|
| Initial levels: | 1,357.98 for S&P, 786.43 for Russell
|
| Knock-in levels: | 814.788 for S&P, 471.858 for Russell; 60% of initial levels
|
| Pricing date: | June 19
|
| Settlement date: | June 22
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TUR0
|
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