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Credit Suisse plans market-linked step-up autocallables on oil index
By Marisa Wong
Madison, Wis., June 4 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due June 2017 linked to the S&P Oil & Gas Exploration & Production Select Industry 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 12% to 14% if the index closes at or above the initial level on the observation date in July 2016.
If the notes are not called and the index finishes above the step-up value, 125% 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 25%.
Investors will be fully exposed to any index decline.
The exact deal terms will be set at pricing.
The notes are expected to price in June and settle in July.
BofA Merrill Lynch is the agent.
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