Credit Suisse plans return notes on Select Sector indexes, S&P 500

By Marisa Wong

Madison, Wis., Feb. 4 - Credit Suisse AG plans to price 0% return notes due Feb. 25, 2015 linked to the upside return of an equally weighted basket of three Select Sector indexes and the downside return of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Select Sector Financials index, the Select Sector Industrials index and the Select Sector Technology index.

The payout at maturity will be par plus the upside return plus the downside return.

The upside return is the return of the Select Sector index basket times an upside participation rate that is expected to be 109% and will be set at pricing. The upside return will not be less than zero.

The downside return is equal to the return of the S&P 500, provided that it will not be greater than zero.

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

The notes will price on Feb. 7 and settle on Feb. 12.

The Cusip number is 22547QHK5.

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