New Issue: Credit Suisse prices $1.51 million absolute return digital barrier notes on indexes

By Marisa Wong

Morgantown, W.Va., Sept. 2 – Credit Suisse AG, London Branch priced $1.51 million of 0% absolute return digital barrier securities due Aug. 31, 2021 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 the fixed payment of 43.5%.

If either index falls but each index finishes above its 60% knock-in level, the payout will be par plus the absolute value of the return of the worse performing index.

Otherwise, investors will be fully exposed to any losses of the worse 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:	$1,514,000
Maturity:	Aug. 31, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above its initial level, par plus 43.5%; if either index falls but each index finishes above its knock-in level, par plus the absolute value of the return of the worse performing index; otherwise, investors will be fully exposed to any losses of the worse performing index
Initial levels:	2,169.04 for the S&P 500, 1,238.031 for the Russell 2000
Knock-in levels:	1,301.424 for the S&P 500, 742.8186 for the Russell 2000; 60% of initial levels
Pricing date:	Aug. 26
Settlement date:	Aug. 31
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4.6%
Cusip:	22548QCW3

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