By Angela McDaniels
Tacoma, Wash., Sept. 25 - Credit Suisse AG, Nassau Branch priced $1.67 million of 0% digital barrier notes due March 28, 2014 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if the final level of either underlying index is less than or equal to its knock-in level, which is 70% of its initial level.
The payout at maturity will be par plus the underlying return of the lowest-performing index.
If a knock-in event does not occur, each index's underlying return will be equal to 11.5%.
If a knock-in event does occur, each index's underlying return will be equal to its return.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Digital barrier notes
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $1,672,000
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Maturity: | March 28, 2014
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final level of either underlying index is less than or equal to knock-in level, full exposure to decline of lowest-performing index; otherwise, par plus 11.5%
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Initial index levels: | 855.51 for Russell 2000 and 1,460.15 for S&P 500
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Knock-in levels: | 598.857 for Russell 2000 and 1,022.105 for S&P 500; 70% of initial levels
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Pricing date: | Sept. 21
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Settlement date: | Sept. 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22546TZG9
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