New Issue: Credit Suisse prices $4.2 million buffered return autocallables linked to indexes

By Toni Weeks

San Luis Obispo, Calif., Dec. 18 – Credit Suisse AG, London Branch priced $4.2 million of 0% autocallable buffered return equity securities due June 23, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized 9.5% call premium if each index finishes at or above its initial level on any of three semiannual observation dates.

If the notes are not called, the payout at maturity will be par if each index finishes at or above 80% of its initial level. If the worst-performing index finishes below the 80% trigger level, investors will lose 1.25% for each 1% decline of the worst-performing index beyond the 20% buffer.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable buffered return equity securities
Underlying indexes:	S&P 500, Russell 2000
Amount:	$4.2 million
Maturity:	June 23, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par if each index finishes at or above 80% of its initial level; if either index finishes below 80% trigger level, 1.25% loss for each 1% decline of worst-performing index beyond 20% buffer level
Call:	At par plus 9.5% per year if each index finishes at or above its initial level on June 18, Dec. 18, 2015 or June 20, 2016
Initial levels:	1,972.74 for S&P 500, 1,139.37 for Russell 2000
Buffer amount:	20%
Pricing date:	Dec. 16
Settlement date:	Dec. 23
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.4%
Cusip:	22547QZG4

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