New Issue: Credit Suisse prices $1.34 million capped knock-out notes on S&P 500

By Wendy Van Sickle

Columbus, Ohio, Feb. 2 – Credit Suisse AG, London Branch priced $1.34 million of 0% capped dual directional knock-out notes due Feb. 22, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 17.7%.

If the final index level is less than or equal to the initial index level but the index does not decline by more than 17.7%, the payout will be par plus the absolute value of the index return.

If the index declines by more than 17.7%, investors will be fully exposed to the index’s decline from its initial level.

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

Issuer:	Credit Suisse AG, London Branch
Issue:	Capped dual directional knock-out notes
Underlying index:	S&P 500
Amount:	$1,342,000
Maturity:	Feb. 22, 2017
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	If index finishes above initial level, par plus index return, subject to 17.7% maximum return; if final index level is less than or equal to initial index level but index does not decline by more than 17.7%, par plus absolute value of index return; if index declines by more than 17.7%, full exposure to index’s decline from initial level
Initial index level:	1,940.24
Knock-out buffer amount:	17.7%
Pricing date:	Jan. 29
Settlement date:	Feb. 2
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1.25%
Cusip:	22546VVS2

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