Credit Suisse plans optimal entry return enhanced notes linked to S&P

By Angela McDaniels

Tacoma, Wash., Feb. 22 - Credit Suisse AG, Nassau Branch plans to price 0% optimal entry return enhanced notes due May 30, 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 agents.

The lookback level will be the index's lowest closing level during the 60 calendar days beginning on the pricing date. The final index level will be the average of the index's closing levels on the five trading days ending May 24, 2013.

If the final index level is greater than the lookback level, the payout at maturity will be par plus 200% of the gain, subject to a maximum return that is expected to be 13% and will be set at pricing.

If the final index level is less than the lookback level, investors will lose 1% for every 1% that the final index level is less than the lookback level.

The notes (Cusip: 22546TNA5) are expected to price Feb. 24 and settle Feb. 29.

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