By Angela McDaniels
Tacoma, Wash., June 3 - Credit Suisse AG, Nassau Branch priced $4.4 million of 0% digital barrier notes due June 3, 2015 linked to the Russell 2000 index, the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if the closing level of any underlying component is less than or equal to its knock-in level, 55% of its initial level, on any day during the life of the notes.
The payout at maturity will be par plus the underlying return of the lowest-performing underlying component.
If a knock-in event has not occurred, the underlying return for each underlying component will be 23%.
If a knock-in event occurs and the final level of an underlying component is greater than or equal to its initial level, its underlying return will be zero.
If a knock-in event occurs and the final level of an underlying component is less than its initial level, its underlying return will be equal to its return.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Digital barrier notes
|
| Underlying components: | Russell 2000 index, S&P 500 index, Market Vectors Gold Miners ETF
|
| Amount: | $4,402,000
|
| Maturity: | June 3, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus underlying return of lowest-performing underlying component
|
| Underlying return: | If knock-in event has not occurred, 23% for each underlying return; if knock-in event occurs and underlying component finishes at or above initial level, zero; if knock-in event occurs and underlying component finishes below initial level, amount equal to its return
|
| Knock-in event: | Closing level of any underlying component is less than or equal to its knock-in level during life of notes
|
| Initial index levels: | 994.43 for Russell 2000, 1,654.41 for S&P 500, $30.06 for ETF
|
| Knock-in levels: | 546.9365 for Russell 2000, 909.9255 for S&P 500, $16.5330 for ETF; 55% of initial levels
|
| Pricing date: | May 30
|
| Settlement date: | June 4
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22547Q2Q8
|
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