Credit Suisse to price dual directional knock-out notes tied to S&P 500

By Angela McDaniels

Tacoma, Wash., March 13 - Credit Suisse AG, Nassau Branch plans to price 0% dual directional capped knock-out notes due April 4, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

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

A knock-out event occurs if the index's final level is less than the initial index level by more than the knock-out buffer, which is expected to be 13.75%.

If a knock-out event has occurred, investors will be fully exposed to the index's decline from its initial level.

If a knock-out event has not occurred and the index return is greater than zero, the payout at maturity will be par plus the lesser of the index return and the maximum upside return, which is expected to be 15%.

If a knock-out event has not occurred and the index return is less than or equal to zero, the payout will be par plus the absolute value of the index return.

The exact knock-out buffer and maximum upside return will be set at pricing.

The notes (Cusip: 22546TPN5) are expected to price March 16 and settle March 21.

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