New Issue: Credit Suisse sells $770,000 dual directional capped knock-out notes on S&P 500

By Marisa Wong

Morgantown, W.Va., Jan. 20 – Credit Suisse AG, London Branch priced $770,000 of 0% dual directional capped knock-out notes due Jan. 31, 2018 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus the index return, subject to an upside maximum return of 6%.

If the index finishes flat or falls by up to 16.9%, the payout will be par plus the absolute value of the index return.

If the index falls by more than 16.9%, investors will be fully exposed to the decline.

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:	$770,000
Maturity:	Jan. 31, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains, par plus index return, capped at 6%; if index declines by 16.9% or less, par plus absolute value of return; otherwise, full exposure to any losses
Initial level:	2,274.64
Final level:	Average of closing index levels on five trading days ending Jan. 26, 2018
Pricing date:	Jan. 13
Settlement date:	Jan. 19
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22548QSR7

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