Credit Suisse plans buffered return enhanced notes on index basket

By Jennifer Chiou

New York, Nov. 15 - Credit Suisse AG, Nassau Branch Branch plans to price 0% buffered return enhanced notes due Dec. 5, 2012 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.

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

The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Stock Price, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.

A basket component's level on any day will equal the underlying index level multiplied by the exchange rate of the related currency on that day. The final underlying index level will equal the average of the underlying closing levels on the five trading days ending Nov. 30, 2012.

The basket return will equal the sum of the weighted component returns for the basket indexes.

If the basket return is positive, the payout at maturity will be par plus 200% of the basket return, subject to a maximum return of 16.5%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.

The notes (Cusip: 22546THD6) will price on Nov. 18 and settle on Nov. 23.

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

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