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Credit Suisse plans capped knock-out notes tied to S&P 500 index
By Toni Weeks
San Diego, July 24 - Credit Suisse AG, Nassau Branch plans to price 0% capped knock-out notes due Aug. 14, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than the knock-out buffer - expected to be 20% - from the initial level on the Aug. 9, 2013 valuation date.
If a knock-out event does not occur, the payout at maturity will be par plus the fixed payment percentage, which is expected to be 7.9%.
If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to losses.
The exact terms will be set at pricing.
The notes (Cusip: 22546TWW7) will price July 27 and settle Aug. 1.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA will act as agents.
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