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Credit Suisse plans high/low coupon autocallables linked to two funds
By Susanna Moon
Chicago, Aug. 14 – Credit Suisse AG, London branch plans to price high/low coupon callable yield notes due Feb. 27, 2017 linked to the Energy Select Sector SPDR fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either underlying fund ever closes at or below its 65% knock-in level during any observation period.
The coupon will be 8.75% to 9.25% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent interest period. Interest will be payable quarterly. The exact coupon rate will be set at pricing.
The notes will be called at par if each fund closes at or above the initial level on any interest payment date.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the worse performing fund, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
The notes will price on Aug. 20 and settle on Aug. 25.
The Cusip number is 22546VK54.
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