New Issue: Credit Suisse prices $504,000 absolute return digital barrier notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., June 5 – Credit Suisse AG, London Branch priced $504,000 of 0% absolute return digital barrier securities due June 3, 2022 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 42.5%.

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:	$504,000
Maturity:	June 3, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above initial level, par plus 42.5%; if either index falls but each index finishes above knock-in level, par plus absolute value of return of lesser -performing index; otherwise, full exposure to losses of lesser -performing index
Initial index levels:	2,411.80 for S&P 500 and 1,370.208 for Russell 2000
Knock-in levels:	1,447.08 for S&P 500 and 822.1248 for Russell 2000; 60% of initial levels
Pricing date:	May 31
Settlement date:	June 5
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.7%
Cusip:	22550B3B7

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