Credit Suisse to price knock-out notes linked to Hang Seng, renminbi

By Angela McDaniels

Tacoma, Wash., Feb. 5 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Feb. 26, 2014 linked to the Hang Seng China Enterprises index and the performance of the deliverable Chinese renminbi relative to the dollar, 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 will occur if the underlying return is less than zero by more than the knock-out buffer amount, which is expected to be 0.2.

The underlying return is (a) (i) the final index level divided by the initial index level multiplied by (ii) the final spot rate divided by the initial spot rate minus (b) one.

If a knock-out event has not occurred, the payout at maturity will be par plus the product of $1,000 and the underlying return, subject to a minimum return of zero and a maximum return that is expected to be 19.5%. Otherwise, the payout will be par plus the product of $1,000 and the underlying return.

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

The notes are expected to price Feb. 8 and settle Feb. 13.

The Cusip number is 22546TY54.

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