New Issue: Credit Suisse prices $931,000 four-year digital plus barrier notes linked to S&P 500

By Susanna Moon

Chicago, Aug. 2 - Credit Suisse, Nassau Branch priced $931,000 of 0% digital plus barrier notes due Aug. 3, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index gains, the payout at maturity will be par plus the greater of the return and 35%.

Investors will receive par if the index falls by up to 30% and will be fully exposed to losses 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:	$931,000
Maturity:	Aug. 3, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains, par plus return, floor of 35%; par if index falls by up to 30%; full exposure to losses if index declines 30% or more
Initial level:	1,292.28
Knock-in level:	904.596, or 70% of initial level
Pricing date:	July 29
Settlement date:	Aug. 3
Agent:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22546TBE0

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