Credit Suisse plans buffered return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Dec. 7 - Credit Suisse AG, Nassau Branch plans to price 0% buffered return enhanced notes due Dec. 29, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any increase in the index, subject to a maximum return of at least 11.5% that will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The final index level will be the average of its closing levels on the five trading days ending Dec. 23, 2011.

The notes (Cusip 22546EL93) are expected to price Dec. 10 and settle Dec. 15.

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

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