New Issue: Credit Suisse sells $1.05 million absolute return digital barrier notes on indexes

By Sarah Lizee

Olympia, Wash., Aug. 28 – Credit Suisse AG, London Branch priced $1.05 million of 0% absolute return digital barrier securities due Aug. 29, 2022 linked to the lesser 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 the initial level, the payout at maturity will be par plus the fixed return of 35%.

If either index falls by up to the 75% knock-in level, the payout will be par plus the absolute value of the return of 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, Russell 2000
Amount:	$1,047,000
Maturity:	Aug. 29, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus 35%; if each index falls by up to the knock-in level, par plus absolute return of worse performing index; otherwise, 1% loss per 1% decline of worse performing index
Initial levels:	2,874.69 for S&P and 1,725.671 for Russell
Knock-in levels:	2,156.0175 for S&P and 1,294.25325 for Russell; 75% of initial levels
Pricing date:	Aug. 24
Settlement date:	Aug. 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	1.6%
Cusip:	22551L3Y4

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