New Issue: Credit Suisse sells $778,000 absolute return barrier securities on Russell Value ETFs

By Taylor Fox

New York, Feb. 1 – Credit Suisse AG, London Branch priced $778,000 of 0% absolute return barrier securities due Jan. 4, 2024 linked to the iShares Russell 1000 Value ETF and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.

If each fund finishes at or above the initial level, the payout at maturity will be par plus 145% of the gain of the worse performing fund.

If each fund finishes at or above the 80% knock-in level, the payout will be par plus the absolute value of the worse performing fund.

Otherwise, investors will be fully exposed to the loss of the worse performing fund.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return barrier securities
Underlying funds:	iShares Russell 1000 Value ETF and the iShares Russell 2000 Value ETF
Amount:	$778,000
Maturity:	Jan. 4, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If each fund gains, par plus 145% of return of worse performing fund; if each fund finishes above knock-in level, par plus the absolute value of worse performing fund; otherwise, full exposure to any losses of worse performing fund
Initial levels:	$135.03 for Russell 1000 and $130.08 for Russell 2000
Knock-in levels:	$108.024 for Russell 1000 and $104.064 for Russell 2000, 80% of initial levels
Pricing date:	Dec. 29
Settlement date:	Dec. 31
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.75%
Cusip:	22552WZT5

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