New Issue: Credit Suisse prices $1.4 million dual directional knock-out notes linked to S&P 500

By Susanna Moon

Chicago, July 31 – Credit Suisse AG, London Branch priced $1.4 million of 0% dual directional capped knock-out notes due Aug. 12, 2016 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, up to a maximum return of 10.8%.

If the index falls by up to the contingent buffer of 10.8%, 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:	$1.4 million
Maturity:	Aug. 12, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains, par plus return, capped at 10.8%; if index falls by up 10.8%, par plus the absolute value of the return; otherwise, par plus the return
Initial index level:	2,093.25
Contingent buffer:	10.8%
Pricing date:	July 28
Settlement date:	July 31
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546VJ72

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