Credit Suisse plans buffered notes on five Asian indexes, currencies

By Toni Weeks

San Diego, Oct. 25 - Credit Suisse AG, Nassau Branch plans to price buffered return enhanced notes due Nov. 15, 2012 linked to a basket of five Asian indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the Hang Seng China Enterprises index with a 21% weight, the Korea Composite Stock Price index 200 with a 25% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 25% weight and the MSCI Singapore index with a 9% weight.

The related currencies are the Hong Kong dollar for the Hang Seng China and Hang Seng indexes, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.

If the basket appreciates relative to the U.S. dollar, the payout at maturity will be par plus double the basket return, subject to a cap of 15.6%. Investors will receive par if the basket declines by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The notes (Cusip: 22546TGG0) will price Oct. 28 and settle Nov. 2.

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

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