New Issue: Credit Suisse sells $9.5 million dual directional buffered notes on S&P

By Wendy Van Sickle

Columbus, Ohio, May 24 – Credit Suisse AG, London Branch priced $9.5 million of 0% dual directional buffered performance securities with downside leverage due May 21, 2024 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 gain of the index, capped at par plus 24.05%.

If the index falls by up to 20%, the payout will be par plus the absolute value of the return of the index.

Otherwise, investors will lose 1.25% for each 1% loss of the index beyond the 20% buffer.

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

Issuer:	Credit Suisse AG, London Branch
Issue:	Dual directional buffered notes
Underlying index:	S&P 500 index
Amount:	$9.5 million
Maturity:	May 21, 2024
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes above the initial level, par plus the gain of the index, capped at par plus 24.05%; if the index falls by up to 20%, par plus absolute value of the return of the index; otherwise, 1.25% loss for each 1% loss of the index beyond the buffer
Initial index level:	4,008.01
Buffer level:	3,206.41; 80% of initial level
Pricing date:	May 17
Settlement date:	May 20
Placement agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1.3%
Cusip:	22553PXZ7

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