Credit Suisse plans autocallable market-linked notes on Russell 2000

By Jennifer Chiou

New York, June 27 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due July 2017 linked to the Russell 2000 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 $0.80 if the notes are called in July 2015 or $1.60 if the notes are called in July 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 17% to 23% and will be set at pricing.

Investors will receive par for losses up to 5% and will share in any losses beyond 5%.

The notes will price and settle in July.

BofA Merrill Lynch is the underwriter.

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