New Issue: Credit Suisse prices $24.33 million capped knock-out notes on S&P 500

By Jennifer Chiou

New York, July 31 - Credit Suisse AG, Nassau Branch priced $24,332,000 of 0% capped knock-out notes due Aug. 14, 2013 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 20% 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 greater of the index return and the 8.35% fixed payment percentage.

If a knock-out event occurs, the payout at maturity will be par plus the index return.

In either case, the return is subject to a maximum of 15%.

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

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Capped knock-out notes
Underlying index:	S&P 500
Amount:	$24,332,000
Maturity:	Aug. 14, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 20% from initial level during life of notes, par plus index return, subject to maximum return of 15%; otherwise, par plus greater of index return and 8.35% fixed payment percentage, also subject to maximum return of 15%
Initial level:	1,385.97
Knock-out level:	1,108.776, 80% of initial level
Pricing date:	July 27
Settlement date:	Aug. 1
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546TWU1

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