New Issue: Credit Suisse prices $1.67 million absolute return barrier notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., May 28 – Credit Suisse AG, London Branch priced $1.67 million of 0% absolute return barrier securities due May 27, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above its initial level, the payout at maturity will be par plus 117.5% of the index return.

If the index falls by up to the 70% knock-in level, the payout will be par plus the absolute value of the index return, up to a maximum of $1,299.99 for each $1,000 principal amount.

If the index falls to or below the knock-in level, investors will be fully exposed to its decline from the initial level.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return barrier securities
Underlying index:	S&P 500
Amount:	$1,665,000
Maturity:	May 27, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains, par plus 117.5% of index return; if index falls by up to knock-in level, par plus absolute value of return, capped at 29.999%; otherwise, full exposure to index decline from initial level
Initial level:	2,126.06
Knock-in level:	1,488.242; 70% of initial level
Pricing date:	May 22
Settlement date:	May 28
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.8%
Cusip:	22546VBM7

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