By Jennifer Chiou
New York, Sept. 24 - Credit Suisse AG, Nassau Branch priced $737,000 of 0% absolute return barrier securities due Dec. 26, 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 28%.
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: | $737,000
|
| Maturity: | Dec. 26, 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 28%; 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: | 1,460.26 for S&P, 851.51 for Russell
|
| Knock-in levels: | 876.156 for S&P, 510.906 for Russell; 60% of initial levels
|
| Pricing date: | Sept. 20
|
| Settlement date: | Sept. 25
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TYA3
|
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