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Credit Suisse plans autocallable market-linked step-up notes on S&P 500
By Jennifer Chiou
New York, Sept. 25 – Credit Suisse AG plans to price autocallable market-linked step-up notes due October 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 7% if the index closes at or above the initial level on either of the annual observation dates.
If the notes are not called and the index finishes above the step-up value – 117% to 123% of the initial level – the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 17% to 23%.
Investors will share in any losses.
The exact deal terms will be set at pricing.
The notes will price in October and settle in November.
BofA Merrill Lynch is the agent.
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