Credit Suisse plans capped knock-out notes tied to Hang Seng basket

By Jennifer Chiou

New York, Sept. 17 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Oct. 9, 2013 linked to equal weights of the Hang Seng China Enterprises index and the Hang Seng index, according to a 424B2 filing with the Securities and Exchange Commission.

The Hong Kong dollar will be measured relative to the U.S. dollar.

A knock-out event occurs if the basket falls by more than 20%. The exact knock-out level will be set at pricing.

If a knock-out event does not occur, the payout at maturity will be par any basket gain, up to a maximum return of 20% and with a minimum return of par.

Otherwise, the payout at maturity will be par plus the basket return, with exposure to any losses.

The notes (Cusip: 22546TZP9) will price on Sept. 21 and settle on Sept. 26.

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

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