New Issue: Credit Suisse prices $856,000 absolute return barrier notes linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., March 4 – Credit Suisse AG, London Branch priced $856,000 of 0% absolute return barrier securities due March 3, 2020 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 107.5% of the return of the worst-performing index.

If either index falls by up to the 55% knock-in level, the payout will be par plus the absolute value of the return of the worst-performing index, up to a maximum of $1,449.99 for each $1,000 principal amount.

If either index falls to or below the knock-in level, investors will be fully exposed to any losses of the worst-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:	$856,000
Maturity:	March 3, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus 107.5% of return of worst-performing index; if either index falls by up to knock-in level, par plus absolute value of return of worst-performing index, capped at 44.999%; otherwise, full exposure to any losses of worst-performing index
Initial levels:	2,104.5 for S&P, 1,233.368 for Russell
Knock-in levels:	1,157.475 for S&P, 678.3524 for Russell; 55% of initial levels
Pricing date:	Feb. 27
Settlement date:	March 4
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.8%
Cusip:	22546V3H7

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