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Credit Suisse plans high/low coupon callable notes on S&P 500, Russell
By Susanna Moon
Chicago, Dec. 19 - Credit Suisse AG, Nassau Branch plans to price high/low coupon callable yield notes due Jan. 7, 2013 linked to the S&P 500 index, the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index falls to or below 60% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 16% to 19%, with the exact rate to be set at pricing. Otherwise, the coupon for that interest period and each subsequent quarterly interest period will be 1%.
The notes will be callable at par on any interest payment date beginning on April 5, 2012.
The payout at maturity will be par unless either index falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on Dec. 30 and settle on Jan. 5.
The Cusip is 22546TJW2.
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