New Issue: Credit Suisse prices $1.44 million absolute return barrier notes on Vanguard REIT fund

By Susanna Moon

Chicago, July 17 – Credit Suisse AG, London Branch priced $1.44 million of 0% absolute return barrier notes due Jan. 20, 2017 linked to the Vanguard REIT exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the fund finishes above the initial level, the payout at maturity will be par plus 125% of the fund return.

If the fund falls by up to the 74% knock-out level, the payout will be par plus 50% of the absolute value of the return, up to a maximum return of $1,129.99 for each $1,000 principal amount.

Otherwise, investors will be fully exposed to any losses.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Absolute return barrier securities
Underlying fund:	Vanguard REIT ETF
Amount:	$1,441,000
Maturity:	Jan. 20, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If fund gains, par plus 125% of return; if fund falls by up to knock-out level, par plus 50% of the absolute value of the return, capped at 12.999%; otherwise, full exposure to any losses
Initial level:	$76.20
Knock-in level:	$56.388, 74% of initial level
Pricing date:	July 16
Settlement date:	July 18
Agent:	Credit Suisse Securities (USA) LLC
Fees:	0.25%
Cusip:	22547QQP4

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