New Issue: Credit Suisse prices $3.5 million review notes linked to S&P 500

By Susanna Moon

Chicago, July 19 - Credit Suisse AG, Nassau Branch priced $3.5 million of 0% review notes due July 22, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

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

The notes will be called at par plus a call premium of 8.75% per year if the index closes at or above the initial index level on any of five observation dates. The call dates are July 25, 2012, Oct. 17, 2012, Jan. 16, 2013, April 17, 2013 and July 17, 2013.

The payout at maturity will be par if the index falls by up to 10%.

Otherwise, investors will lose 1.1111% for every 1% decline beyond 10%.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Review notes
Underlying index:	S&P 500
Amount:	$3.5 million
Maturity:	July 22, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	Par unless index falls by more than 10%, in which case 1.1111% loss per 1% drop beyond 10%
Call:	At par plus 8.75% per year if index closes at or above initial level on July 25, 2012, Oct. 17, 2012, Jan. 16, 2013, April 17, 2013 and July 17, 2013
Initial index level:	1,316.14
Pricing date:	July 15
Settlement date:	July 20
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1.5%
Cusip:	22546TCB5

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