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Credit Suisse plans market-linked step-up autocallables on S&P 500
By Toni Weeks
San Luis Obispo, Calif., July 24 – Credit Suisse AG plans to price autocallable market-linked step-up notes due August 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 two observation dates.
If the notes are not called and the index finishes above the step-up value – 116% to 122% 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 16% to 22%.
Investors will be exposed to any losses if the index declines.
The exact deal terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes will price and settle in August.
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