By Susanna Moon
Chicago, March 29 - Credit Suisse AG, Nassau Branch priced $752,000 of 0% dual directional notes due March 31, 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-out event occurs if either index ever closes at or below the 60% knock-in level during the life of the notes.
If the worst performing index finishes at or above its initial level, the payout at maturity will be par plus any gain on the worst performing index, up to a maximum return of 34.6%.
If the worst performing index finishes below its initial level and a knock-in event has not occurred, the payout will be par plus the absolute return of the worst performing index.
Otherwise, investors will be exposed to any losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Dual directional notes
|
| Underlying index: | S&P 500 and Russell 2000
|
| Amount: | $752,000
|
| Maturity: | March 31, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst performing index gains, par plus return of that index, capped at 34.6%; if worst performing index falls and both indexes never dip below knock-in level, par plus absolute return of worst performing index; otherwise, exposure to any losses
|
| Initial levels: | 1,412.52 for S&P, 839.98 for Russell
|
| Knock-out levels: | 847.512 for S&P, 503.988 for Russell; or 60% of initial level
|
| Pricing date: | March 27
|
| Settlement date: | March 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546TPD7
|
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