Credit Suisse plans autocallable market-linked step-up notes on Russell

By Jennifer Chiou

New York, March 31 – Credit Suisse AG plans to price autocallable market-linked step-up notes due April 2020 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus an annualized call premium of 6% to 7% if the index closes at or above the initial level on any of the annual observation dates.

If the notes are not called and the index finishes above the step-up value, 135% 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 35%.

Investors will receive par for losses up to 15% and will be exposed to losses beyond 15%.

The notes are expected to price and settle in April.

BofA Merrill Lynch is the agent.

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