By Marisa Wong
Madison, Wis., May 30 - Credit Suisse AG, Nassau Branch priced $823,000 of 0% digital-plus barrier notes due May 31, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the underlying return of the lowest-performing index.
If an index's final level is greater than or equal to its initial level, its underlying return will be the greater of its return and 35%.
If an index's final level is less than its initial level and a knock-out event has occurred, its underlying return will be equal to its return. A knock-in event occurs if the final level of either index is less than or equal to 70% of its initial level.
If an index's final level is less than its initial level and a knock-out event has not occurred, its underlying return will be zero.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Digital-plus barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $823,000
|
| Maturity: | May 31, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus underlying return of lowest-performing index
|
| Underlying return: | If index's final level is greater than or equal to initial level, greater of index's return and 35%; if index's final level is less than initial level and knock-out event has occurred, amount equal to index's return; if index's final level is less than initial level and knock-out event has not occurred, zero
|
| Knock-out event: | Final level of either index is less than or equal to knock-in level
|
| Initial index levels: | 1,660.06 for S&P 500 and 997.35 for Russell 2000
|
| Knock-in levels: | 1,162.042 for S&P 500 and 698.145 for Russell 2000; 70% of initial levels
|
| Pricing date: | May 28
|
| Settlement date: | May 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.375%
|
| Cusip: | 22546T6C0
|
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