New Issue: Credit Suisse prices $2.45 million capped knock-out notes linked to S&P 500 index

By Toni Weeks

San Diego, Dec. 13 - Credit Suisse AG, Nassau Branch priced $2.45 million of 0% capped knock-out notes due Dec. 24, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 32% during the life of the notes.

If a knock-out event does not occur, the payout at maturity is par plus a fixed payment of 10%, or $1,100 per $1,000 principal amount.

If a knock-out event occurs, the payout at maturity is par plus the index return, capped at 10%.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Capped knock-out notes
Underlying index:	S&P 500
Amount:	$2.45 million
Maturity:	Dec. 24, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 32% from initial level during life of notes, par plus index return, capped at 10%; otherwise, par plus 10%
Initial level:	1,255.19
Knock-out level:	853.5292, 68% of initial level
Pricing date:	Dec. 9
Settlement date:	Dec. 14
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546TJH5

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