Credit Suisse plans 0% notes tied to buffered return enhanced indexes

By Jennifer Chiou

New York, Oct. 19 - Credit Suisse AG, Nassau Branch plans to price 0% notes due Nov. 9, 2011 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.

The payout at maturity will be par plus double the basket return, which will equal the sum of the weighted component returns for the basket indexes, capped at 17.714%. If the basket falls by 10% or less, the payout will be par. If the basket falls by more than 10%, investors will share in losses at a rate of 1.1111% for every 1% that it falls beyond 10%.

The exact cap will be set at pricing.

The notes (Cusip: 22546ED27) are expected to price on Oct. 22 and settle on Oct. 27.

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

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