New Issue: Credit Suisse prices $718,000 knock-out notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., Feb. 19 – Credit Suisse AG, London Branch priced $718,000 of 0% knock-out notes due Aug. 17, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 24% from the initial level during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus the index return, with a floor of par. If a knock-out event occurs, the payout will be par plus the index return, with full exposure to losses.

The final index level will be the average of the closing index levels on the five trading days ending Aug. 12, 2016.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

Issuer:	Credit Suisse AG, London Branch
Issue:	Knock-out notes
Underlying index:	S&P 500
Amount:	$718,000
Maturity:	Aug. 17, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index finishes at or above 76% of initial level during the life of the notes, par plus index return, floor of par; otherwise, par plus index return, with full exposure to losses
Initial index level:	2,096.99
Knock-out buffer amount:	24%
Pricing date:	Feb. 13
Settlement date:	Feb. 19
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1.25%
Cusip:	22546V5B8

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