New Issue: Credit Suisse sells $2.95 million absolute return barrier notes on S&P 500, Russell

By Marisa Wong

Madison, Wis., Jan. 2 - Credit Suisse AG, London Branch priced $2.95 million of 0% absolute return barrier securities due Jan. 5, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

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

If the worse performing index finishes at or below the 62% knock-in level, the payout will be par plus the absolute value of the return of the worse performing index up to a maximum return of $1,379.99 for every $1,000 principal amount of the notes.

If the worse performing index falls and a knock-in event has occurred, investors will be fully exposed to 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, Russell 2000
Amount:	$2,954,000
Maturity:	Jan. 5, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	Plus any gain of worse performing index; if worse performing index falls by up to knock-in level, par plus absolute value of worse performing index return, capped at 37.999%; otherwise, full exposure to losses of worse performing index
Initial levels:	1,841.07 for S&P, 1,160.59 for Russell
Knock-in levels:	1,141.4634 for S&P, 719.5658 for Russell; 62% of initial levels
Pricing date:	Dec. 30
Settlement date:	Jan. 3
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.55%
Cusip:	22547QEP7

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