New Issue: Credit Suisse sells $3.11 million digital plus barrier notes on S&P 500

By Marisa Wong

Madison, Wis., July 25 - Credit Suisse, Nassau Branch priced $3.11 million of 0% digital plus barrier notes due July 29, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus the greater of the index return and 30%.

Investors will receive par if the index falls by up to 30% and will lose 1% for every 1% decline from the initial level if the index falls by 30% or more.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital plus barrier notes
Underlying index:	S&P 500
Amount:	$3.11 million
Maturity:	July 29, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	If final level is greater than initial level, par plus greater of index return and 30%; if index falls by up to 30%, par; if index falls by 30% or more, full exposure to losses
Initial level:	1,345.02
Knock-in level:	941.5140, or 70% of initial level
Pricing date:	July 22
Settlement date:	July 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.75%
Cusip:	22546TBK6

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