New Issue: Credit Suisse prices $440,000 digital-plus barrier notes on S&P 500

By Jennifer Chiou

New York, Aug. 29 - Credit Suisse AG, Nassau Branch priced $440,000 of 0% digital-plus barrier notes due Aug. 30, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the greater of the index return and 16%.

If the final index level is greater than the knock-in level, 70% of the initial index level, but less than the initial level, the payout will be par.

If the final index level is less than or equal to the knock-in level, investors will be fully exposed to the index's decline from its initial level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse, Nassau Branch
Issue:	Digital-plus barrier notes
Underlying index:	S&P 500
Amount:	$440,000
Maturity:	Aug. 30, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is greater than or equal to initial index level, par plus greater of index return and 16%; if final level is greater than knock-in level but less than initial level, par; if final level is less than or equal to knock-in level, full exposure to index's decline from its initial level
Initial level:	1,630.48
Knock-in level:	1,141.336, 70% of initial levels
Pricing date:	Aug. 27
Settlement date:	Aug. 30
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.5%
Cusip:	22547Q6D3

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