By Marisa Wong
Madison, Wis., Aug. 26 – Credit Suisse AG, London Branch priced $7.16 million of 0% return notes due Sept. 10, 2015 linked to the upside return of an equally weighted basket of three Select Sector indexes and the downside return of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Select Sector Financials index, the Select Sector Industrials index and the Select Sector Technology index.
The payout at maturity will be par plus the upside return plus the downside return. If the upside return is not enough to offset the downside return, this payout will be less than par.
The upside return is 107% of the return of the Select Sector index basket, provided that it will not be less than zero.
The downside return is equal to the return of the S&P 500, provided that it will not be greater than zero.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Return notes
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| Underlying indexes: | S&P 500 index and equally weighted basket consisting of the Select Sector Financials, Select Sector Industrials and Select Sector Technology indexes
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| Amount: | $7.16 million
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| Maturity: | Sept. 10, 2015
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 107% of return of Select Sector index basket (subject to floor of zero) and 100% of S&P 500 index return (subject to cap of zero)
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| Initial index levels: | 1,988.40 for S&P 500, 230.40 for financials index, 540.55 for industrials index and 400.86 for technology index
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| Final index levels: | Average of index’s closing levels on five trading days ending Sept. 4, 2015
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| Pricing date: | Aug. 22
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| Settlement date: | Aug. 27
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1%
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| Cusip: | 22547QSG2
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