Credit Suisse to price capped knock-out notes on Freeport-McMoRan

By Jennifer Chiou

New York, May 24 - Credit Suisse AG, Nassau Branch plans to price capped knock-out notes due June 13, 2012 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to a 424B2 filing with the Securities and Exchange Commission.

If the price of Freeport-McMoRan shares falls by more than the expected knock-out buffer of 34% 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, with a contingent minimum return of 10%.

The exact terms will be set at pricing, and the maximum return will be 30% in either case.

The notes (Cusip: 22546TAD3) are expected to price on May 27 and settle on June 2.

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

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