Credit Suisse plans capped knock-out notes tied to Apple via JPMorgan

By Toni Weeks

San Diego, March 22 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due April 10, 2012 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission.

If the price of Apple shares falls by more than the expected knock-out buffer of 25% during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the stock return, subject to a contingent minimum return of at least 11.5%.

In each case, the payout will be subject to a maximum return of at least 25%.

The exact terms will be set at pricing.

The notes (Cusip: 22546E2Z6) are expected to price March 25 and settle March 30.

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

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