Credit Suisse plans autocallable market-linked notes on Euro Stoxx

By Jennifer Chiou

New York, Feb. 4 - Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due February 2017 linked to the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

The notes will be called at par of $10 plus a premium if the index's closing level is greater than or equal to the initial level on either observation date. The premium will be $1.10 if the notes are called in March 2015 or $2.20 if the notes are called in February 2016.

If the notes are not called and the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the greater of the step-up payment and the index return. The step-up payment is expected to be 30% to 36% and will be set at pricing.

Investors will share in any losses.

The notes will price in February and settle in March.

BofA Merrill Lynch is the underwriter.

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