Credit Suisse plans 0% CS notes on basket of real, rupee and rupiah

By Marisa Wong

Madison, Wis., Feb. 7 - Credit Suisse AG, Nassau Branch plans to price 0% CS notes due May 16, 2012 linked to a basket of three equally weighted currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying currencies are the Brazilian real, Indian rupee and Indonesian rupiah.

The payout at maturity will be par plus 2.2 times any basket gain. If the basket falls by up to 10%, the payout will be par plus the basket return. Investors will receive at least 90% of par.

The notes (Cusip: 22546EN59) are expected to price on Feb. 11 and settle on Feb. 16.

J.P. Morgan Securities LLC is the agent.

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