New Issue: Credit Suisse sells $1.12 million absolute return barrier notes tied to two indexes

By Marisa Wong

Morgantown, W.Va., May 5 – Credit Suisse AG, London Branch priced $1.12 million of 0% absolute return barrier securities due April 29, 2021 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above the initial level, the payout at maturity will be par plus 156% of the gain of the worse performing index.

If each index finishes above the 70% knock-in level, the payout will be par plus the absolute value of the worse performing index.

Otherwise, investors will be fully exposed to the losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return barrier securities
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$1,117,000
Maturity:	April 29, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If final level of lower-performing index is greater than or equal initial level, par plus 156% of return of lower-performing index; if lower-performing index finishes above knock-in level, par plus absolute value of return of lower-performing index; if either index finishes at or below its knock-in level, full exposure to decline of lower-performing index
Initial index levels:	2,091.70 for S&P 500 and 1,150.728 for Russell 2000
Knock-in level:	1,464.19 for S&P 500 and 805.5096 for Russell 2000; 70% of initial levels
Pricing date:	April 26
Settlement date:	April 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4.6%
Cusip:	22546VZS8

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