New Issue: Credit Suisse prices $7.86 million dual directional knock-out notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., July 28 – Credit Suisse AG, London Branch priced $7.86 million of 0% dual directional capped knock-out notes due Feb. 1, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above its initial level, the payout at maturity will be par plus the gain, capped at 14.15%.

If the index falls by up to the contingent buffer of 14.15%, the payout will be par plus the absolute value of the return.

Otherwise, the payout will be par plus the return, with full exposure to any losses.

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

Issuer:	Credit Suisse AG, London Branch
Issue:	Dual directional capped knock-out notes
Underlying index:	S&P 500
Amount:	$7.86 million
Maturity:	Feb. 1, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If index finishes above initial level, par plus index return, subject to 14.15% maximum return; if index declines by 14.15% or less, par plus absolute value of index return; if index declines by more than 14.15%, full exposure to index’s decline
Initial index level:	2,079.65
Final index level:	Average of index’s closing levels on five trading days ending Jan. 27, 2017
Pricing date:	July 24
Settlement date:	July 30
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1.25%
Cusip:	22546VHL3

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