New Issue: Credit Suisse prices $518,000 digital-plus barrier notes linked to S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., June 4 - Credit Suisse AG, Nassau Branch priced $518,000 of 0% digital-plus barrier notes due June 5, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final level of the lowest-performing index on the May 31, 2017 valuation date is greater than or equal to its initial index level, the payout at maturity will be par plus the greater of the 44% fixed payment percentage and the return of the lowest-performing index.

If the lowest-performing index falls by up to 30%, the payout at maturity will be par. If either index falls by 30% or more, investors will be fully exposed to the decline in the lowest-performing index from the initial index level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital-plus barrier notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$518,000
Maturity:	June 5, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If final level of lowest-performing index on May 31, 2017 is greater than or equal to its initial level, par plus greater of 44% and return of lowest-performing index; par if lowest-performing index falls by up to 30%; full exposure to decline of lowest-performing index if either index falls more than 30%
Initial levels:	1,630.74 for S&P, 984.14 for Russell
Knock-in levels:	1,141.518 for S&P, 688.898 for Russell, 70% of initial levels
Pricing date:	May 31
Settlement date:	June 5
Agent:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22546T6D8

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