Credit Suisse plans two-year review notes tied to S&P 500 via JPMorgan

By Toni Weeks

San Diego, March 13 - Credit Suisse AG, Nassau Branch plans to price 0% review notes due March 20, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized 10% premium if the index closes at or above the initial level on any of the review dates. The review dates will be on March 25, 2013, Sept. 17, 2013 and March 17, 2014.

If the notes are not called, investors will receive par if the index return is at least 90% of the initial level and will lose 1.1111% for every 1% drop in the index beyond the 10% buffer.

The notes (Cusip: 22546TPM7) are expected to price March 16 and settle March 21.

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

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