New Issue: Credit Suisse prices $739,000 absolute return barrier notes on indexes

By Susanna Moon

Chicago, June 10 – Credit Suisse AG, London Branch priced $739,000 of 0% absolute return barrier securities due June 3, 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 160% of the gain of the worse performing index.

If each index finishes above the 50% 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:	$739,000
Maturity:	June 3, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus 160% of return of worse performing index; if each index finishes above the 50% knock-in level, par plus the absolute value of worse performing index; otherwise, full exposure to any losses of worse performing index
Initial index levels:	2,096.96 for S&P and 1,154.792 for Russell
Knock-in level:	1,048.48 for S&P and 577.396 for Russell; 50% of initial levels
Pricing date:	May 31
Settlement date:	June 3
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.7%
Cusip:	22548Q4W2

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