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Credit Suisse plans market-linked step-up autocallables on Russell
By Susanna Moon
Chicago, March 27 - Credit Suisse AG plans to price autocallable market-linked step-up notes due April 2017 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 8% if the index closes at or above the initial level on either observation date.
If the index finishes above the step-up value - 118% to 124% 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 18% to 24%.
Investors will receive par if the index falls by up to 5% and will be exposed to any losses beyond 5%.
The exact deal terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes will price and settle in April.
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