New Issue: Credit Suisse prices $915,000 callable cert plus notes on S&P 500, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Dec. 2 – Credit Suisse AG, London Branch priced $915,000 of 0% callable cert plus securities due Dec. 1, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-in event occurs if either index finishes at or below its 70% knock-in level.

If the worst-performing index finishes above the initial level, the payout at maturity will be par plus 150% of the gain.

If the worst-performing index falls but a knock-in event has not occurred, the payout will be par.

Otherwise, the payout will be par plus the return with exposure to any losses.

The notes are callable at par plus a call return of 11% on Dec. 2, 2015.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Callable cert plus securities
Underlying indexes:	S&P 500, Russell 2000
Amount:	$915,000
Maturity:	Dec. 1, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If worst-performing index gains, par plus 150% of return; if worst-performing index falls by up to 30%, par; otherwise, par plus return with exposure to any losses
Call option:	At par plus 11% on Dec. 2, 2015
Initial levels:	2,072.83 for S&P, 1,190.624 for Russell
Knock-in levels:	1,450.981 for S&P, 833.4368 for Russell, 70% of initial levels
Pricing date:	Nov. 26
Settlement date:	Dec. 2
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.55%
Cusip:	22547QWE2

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