New Issue: Credit Suisse prices $1.03 million absolute return digital barrier notes linked to S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, Oct. 6 – Credit Suisse AG, London Branch priced $1.03 million of 0% absolute return digital barrier securities due Oct. 5, 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 its initial level, the payout at maturity will be par plus 52%.

If either index falls but each index finishes above its knock-in level, 60% of its initial level, the payout will be par plus the absolute value of the return of the lesser-performing index.

Otherwise, investors will be fully exposed to the decline of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return digital barrier securities
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$1,025,000
Maturity:	Oct. 5, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above initial level, par plus 52%; if either index falls but each index finishes above knock-in level, par plus absolute value of return of worse-performing index; otherwise, full exposure to losses of worse-performing index
Initial index levels:	2,168.27 for S&P 500 and 1,251.646 for Russell 2000
Knock-in levels:	1,300.96 for S&P 500 and 750.99 for Russell 2000; 60% of initial levels
Pricing date:	Sept. 30
Settlement date:	Oct. 5
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.7%
Cusip:	22548QFH3

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