New Issue: Credit Suisse prices $5.8 million autocallable notes on S&P, Russell

By Toni Weeks

San Luis Obispo, Calif., Feb. 6 – Credit Suisse AG, London Branch priced $5.8 million of autocallable securities due Feb. 9, 2018 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 call premium of 13% if each index closes at or above its initial level on any of three annual observation dates.

If the notes are not called, the payout at maturity will be par if both indexes finish at or above the 85% knock-in level. If either index closes below the knock-in level, investors will be exposed to losses on the worst-performing index.

Barclays is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable securities
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$5.8 million
Maturity:	Feb. 9, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	Par if both indexes finish at or above 85% knock-in level; if either index closes below the knock-in level, exposure to decline of worst-performing index
Call:	At par plus 13% per year if each index closes at or above initial level on Feb. 10, 2016, Feb. 6, 2017 or Feb. 6, 2018
Initial levels:	2,041.51 for S&P 500, 1,191.442 for Russell 2000
Knock-in levels:	1,735.284 for S&P 500, 1,012.726 for Russell 2000, 85% of initial levels
Pricing date:	Feb. 4
Settlement date:	Feb. 9
Agent:	Barclays
Fees:	2.5%
Cusip:	22546V4M5

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