Credit Suisse to price capped knock-out notes linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., July 17 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Aug. 7, 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 placement agents.

A knock-out event occurs if the index's closing level is less than the initial index level by more than the knock-out buffer amount on any day during the life of the notes. The knock-out buffer amount is expected to be 21.55%.

If a knock-out event does not occur, the payout at maturity will be par plus the fixed payment percentage, which is expected to be 10%.

If a knock-out event occurs, the payout will be par plus the lesser of the index return, which may be positive or negative, and the maximum return, which is expected to be 10%.

The exact terms will be set at pricing.

The notes are expected to price July 20 and settle July 27.

The Cusip number is 22546TWN7.

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