Credit Suisse to sell capped knock-out notes on S&P GSCI Brent Crude

By Marisa Wong

Madison, Wis., Feb. 22 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due March 7, 2012 linked to the S&P GSCI Brent Crude Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes below the knock-out level - expected to be 80% of the initial level - at any time during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative.

If the index remains at or above the knock-out level throughout the life of the notes, the payout will be par plus the greater of the index return and a contingent minimum return of at least 10%.

In either case, the payout will be subject to a maximum return of at least 21%.

The exact knock-out level, contingent minimum return and maximum return will be set at pricing.

The notes (Cusip: 22546EW42) are expected to price Feb. 25 and settle March 2.

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

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