Credit Suisse plans return enhanced notes on Select Sector indexes, S&P

By Angela McDaniels

Tacoma, Wash., Feb. 25 - Credit Suisse AG plans to price 0% return enhanced notes due March 18, 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 101% 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.

The final level of each index will be the average of its closing levels on the five trading days ending March 13, 2015.

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

The notes are expected to price Feb. 28 and settle March 5.

The Cusip number is 22547QJP2.

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