New Issue: Credit Suisse prices $10 million review notes linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., Jan. 29 – Credit Suisse AG, London Branch priced $10 million of 0% review notes due Jan. 29, 2020 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 15% per year if each index closes at or above its initial level on any of five annual review dates beginning Jan. 26, 2016.

The payout at maturity will be par unless either index falls by more than the knock-out buffer of 10%, in which case investors will be fully exposed to the decline of the worst-performing index.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

Issuer:	Credit Suisse AG, London Branch
Issue:	Review notes
Underlying indexes:	S&P 500 and Euro Stoxx 50
Amount:	$10 million
Maturity:	Jan. 29, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par unless either index falls by more than the knock-out buffer of 10%, in which case investors will be fully exposed to losses of worst-performing index
Call:	Automatically at par plus a premium of 15% per year if each index closes at or above its initial level on any of five annual review dates beginning Jan. 26, 2016
Initial levels:	2,057.09 for S&P, 3,414.28 for Euro Stoxx
Knock-out levels:	1851.381 for S&P, 3,072.852 for Euro Stoxx; 90% of initial levels
Pricing date:	Jan. 26
Settlement date:	Jan. 29
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	3%
Cusip:	22546V3C8

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