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

By Devika Patel

Knoxville, Tenn., March 28 – Credit Suisse AG, London branch plans to price autocallable market-linked step-up notes due April 2019 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 1.1% to 1.2% if the index closes at or above the initial level on either of the two annual observation dates. The exact call premium will be set at pricing.

If the notes are not called and the index finishes above the step-up value, 130% 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 payment of 30%.

Otherwise, investors will be fully exposed to any declines.

Credit Suisse International and Merrill Lynch, Pierce, Fenner & Smith Inc. are the agents.

The notes are expected to price in April and settle in May.

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