Credit Suisse plans autocallable step-up notes on S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., Feb. 28 - Credit Suisse AG plans to price 0% equity-linked autocallable step-up notes due March 28, 2017 tied to the performance of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If both indexes close at or above their respective trigger levels on an annual review date, the notes will be automatically redeemed at par plus a premium of 8% to 8.5% per year. The trigger level is expected to be about 100% of the initial level. The exact call premium and trigger level will be set at pricing.

If the notes are not called, the payout at maturity will be par plus the underlying return of the lower performing index.

If the final level of either index is less than its knock-in level, expected to be 70% of the initial level, the underlying return will equal the index return. Otherwise, the underlying return will equal zero.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price March 21 and settle March 28.

The Cusip number is 22547QJX5.

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