Credit Suisse to price capped knock-out notes linked to 10 stocks

By Angela McDaniels

Tacoma, Wash., July 20 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Aug. 16, 2011 linked to a basket of common stocks, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket includes Broadcom Corp., CA, Inc., Cisco Systems, Inc., Hewlett-Packard Co., International Business Machines Corp., Marvell Technology Group Ltd., Oracle Corp., Qualcomm Inc., SanDisk Corp. and Seagate Technology.

If the basket closes below the knock-out buffer - 75% of the initial level - during the life of the notes, the payout at maturity will be par plus the basket return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the basket return and the contingent minimum return, which is expected to be 15.3%.

In each case, the payout will be subject to a maximum return that is expected to be 25%. The exact contingent minimum return and maximum return will be set at pricing.

The notes (Cusip: 22546EXN9) are expected to price on July 23 and settle July 28.

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

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