Credit Suisse to price capped knock-out notes linked to Polish zloty

By Marisa Wong

Madison, Wis., Feb. 7 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Aug. 16, 2011 linked to the performance of the Polish zloty relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

If the spot rate is greater than the initial spot rate by more than the knock-out buffer - expected to be 10% - on any day during the life of the notes, the payout at maturity will be par plus the lesser of the currency performance and the fixed payment percentage, which is expected to be 8.75%. Otherwise, the payout will be par plus the fixed payment percentage.

The spot rate will increase if the zloty depreciates relative to the dollar.

The notes (Cusip: 22546EP65) will price Feb. 11 and settle Feb. 16.

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

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