New Issue: Credit Suisse sells $5 million of 0% buffered absolute return notes on S&P 500

By Susanna Moon

Chicago, Dec. 10 - Credit Suisse AG, Nassau Branch priced $5 million of 0% buffered absolute return notes due March 13, 2012 based on the performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index never falls below the lower barrier or rises above the upper barrier, the payout at maturity will be par plus the absolute value of the index return.

Otherwise, investors will receive the lesser of the return plus the buffer and zero.

The lower barrier is 77.6% of the initial level, and the upper barrier is 122.3% of the initial level.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Buffered absolute return notes
Underlying index:	S&P 500
Amount:	$5 million
Maturity:	March 13, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If index stays within barriers, par plus absolute return; otherwise, exposure to losses beyond 22.3% drop
Initial level:	1,223.75
Lower barrier:	950.8538, or 77.6% of initial level
Upper barrier:	1,496.6463, or 122.3% of initial level
Pricing date:	Dec. 8
Settlement date:	Dec. 13
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	0.25%
Cusip:	2546EL36

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