Credit Suisse plans notes on buffered components, currencies via JPM

By Susanna Moon

Chicago, Feb. 8 - Credit Suisse AG, Nassau Branch plans to price 0% notes due Feb. 29, 2012 based on a basket of three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.

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

The underlying indexes are 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. Their related currencies are the euro, pound sterling and Japanese yen, respectively.

The payout at maturity will be par plus the basket return.

If an index's underlying return is positive, its component return will be double the underlying return, up to a cap.

If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero.

If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.

The cap will be at least 15.6% for the Euro Stoxx 50, at least 15% for the FTSE 100 and at least 15% for the Topix.

The maximum payout at maturity is $1,153.06 per $1,000 principal amount of notes.

The notes (Cusip 22546EV68) are expected to price on Feb. 11 and settle on Feb. 16.

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