Credit Suisse to price capped knock-out notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 19 - Credit Suisse AG plans to price 0% capped knock-out notes due March 11, 2015 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 placement agents.

A knock-out event occurs if the index's closing level is less than the initial level by more than the knock-out buffer amount, which is expected to be 18.3%, on any day during the life of the notes.

If a knock-out event has not occurred, the payout at maturity will be par plus the index return, subject to a minimum payout of par and a maximum return that is expected to be 15%.

If a knock-out event has occurred, the payout will be par plus the lesser of the index return and the maximum return.

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

The notes are expected to price Feb. 21 and settle Feb. 26.

The Cusip number is 22547QJ98.

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