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

By Angela McDaniels

Tacoma, Wash., July 20 - Credit Suisse AG, Nassau Branch plans to price 0% notes due Aug. 16, 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 52% weight, the FTSE 100 index with a 24% weight and the Topix index with a 24% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.

If a basket index finishes above its initial level, its component return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be 0%. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.

The maximum return will be at least 19.5% for the Euro Stoxx 50 and at least 16.9% for the FTSE 100 and Topix. The exact caps will be set at pricing.

The notes (Cusip: 22546EXM1) are expected to price July 23 and settle July 28.

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

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