Credit Suisse plans autocallable step-up notes linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., Jan. 29 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due February 2020 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium of 6% to 7% per year if the index closes at or above the initial index level on any of the four observation dates, which occur annually.

If the notes are not called and the final index level is greater than the step-up value, 135% of the initial index level, the payout at maturity will be par plus the index return.

If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 35%.

If the final index level is less than the initial index level by up to 15%, the payout will be par. Otherwise, investors will lose 1% for every 1% that it declines beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price in February and settle in March.

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