Credit Suisse plans capped knock-out notes tied to Freeport-McMoRan

By Susanna Moon

Chicago, Oct. 11 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Oct. 31, 2012 linked to Freeport-McMoRan Copper & Gold Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.

A knock-out event occurs if Freeport-McMoRan shares ever close down by more than 30% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the stock return, with exposure to losses.

If a knock-out event does not occur, the payout at maturity is par plus any gain in the stock, with a contingent minimum return of at least 10%.

In either case, the maximum return will be at least 50%.

The exact terms will be set at pricing.

The notes will price on Oct. 14 and settle on Oct. 19.

The Cusip is 22546TFV8.

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