Credit Suisse to price capped knock-out notes linked to Citigroup

By Angela McDaniels

Tacoma, Wash., April 23 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due May 15, 2013 linked to the common stock of Citigroup Inc., 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 final share price is less than the initial share price by more than the knock-out buffer amount, which is expected to be 25% and will be set at pricing.

If a knock-out event does not occur, the payout will be par plus the stock return, subject to a contingent minimum return and a maximum return that are expected to be 11% and 20%, respectively, and will be set at pricing.

If a knock-out event occurs, investors will be fully exposed to the stock decline from the initial share price.

The notes (Cusip: 22546TRQ6) will price April 27 and settle May 2.

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