By Marisa Wong
Madison, Wis., Nov. 21 - Credit Suisse AG, Nassau Branch priced $446,000 of 0% digital barrier notes due Nov. 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 13.85%.
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: | $446,000
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Maturity: | Nov. 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 13.85%
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Initial index levels: | 793.81 for Russell and 1,387.82 for S&P
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Knock-in levels: | 555.667 for Russell and 971.474 for S&P; 70% of initial levels
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Pricing date: | Nov. 20
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Settlement date: | Nov. 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 1.85%
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Cusip: | 22546TH61
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