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Published on 7/28/2015 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $1.1 million absolute return barrier notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., July 28 – Credit Suisse AG, London Branch priced $1.1 million of 0% absolute return barrier securities due Aug. 2, 2021 linked to 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 index level is less than or equal to the knock-in level, 70% of the initial level.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 120% of the index return.

If the final index level is less than the initial index level and a knock-in event has not occurred, the payout will be par plus the absolute value of the index return.

If the final level is less than the initial index level and a knock-in event has occurred, investors will be fully exposed to the decline from the initial index level to the final index level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Absolute return barrier securities
Underlying index:S&P 500
Amount:$1,103,000
Maturity:Aug. 2, 2021
Coupon:0%
Price:Par
Payout at maturity:If index return is positive or zero, par plus 120% of index return; if index return is negative and knock-in event has not occurred, par plus absolute value of index return; if index return is negative and knock-in event has occurred, full exposure to decline in index
Knock-in event:Final index level is less than or equal to knock-in level
Initial index level:2,079.65
Knock-in level:1,455.755, 70% of initial level
Pricing date:July 24
Settlement date:July 31
Agent:Credit Suisse Securities (USA) LLC
Fees:3.8%
Cusip:22546VG75

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