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Credit Suisse to price autocallable step-up notes linked to S&P 500
By Devika Patel
Knoxville, Tenn., March 9 – Credit Suisse AG, London Branch, plans to price autocallable market-linked step-up notes due March 2022 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 a call premium of 7% to 8% per year if the index closes at or above the initial level on any of the five annual observation dates.
If the index finishes above the step-up value – 140% 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 40%.
Investors will receive par if the index falls by up to 15% and will have one-to-one downside exposure to any losses beyond the 15% buffer.
The exact terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes are expected to price and settle in March.
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