New Issue: Credit Suisse sells $1.16 million absolute return digital barrier notes on indexes

By Susanna Moon

Chicago, March 6 – Credit Suisse AG, London Branch priced $1.16 million of 0% absolute return digital barrier securities due March 4, 2020 linked to the least performing of 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 25%.

If either index falls but each index finishes above its knock-in level, 70% of its initial 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 the decline 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, Russell 2000
Amount:	$1,161,000
Maturity:	March 4, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above initial level, par plus 25%; if either index falls but each index finishes above knock-in level, par plus absolute return of worse performing index; otherwise, full exposure to losses of worse performing index
Initial levels:	1,386.684 for Russell, 2,363.64 for S&P
Knock-in levels:	970.6788 for Russell, 1,654.548 for S&P; 70% of initial levels
Pricing date:	Feb. 28
Settlement date:	March 3
Agent:	Credit Suisse Securities (USA) LLC
Fees:	1.5%
Cusip:	22548QTN5

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