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

By Jennifer Chiou

New York, Dec. 8 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due December 2017 linked to the S&P 500 index with a 60% weight and the MSCI EAFE index with a 60% weight, 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 8% if the basket closes at or above the initial level on either call observation date. The call observation dates are in January 2016 and December 2016.

If the basket finishes at or above the initial level, the payout at maturity will be par of $10 plus the greater of the step-up payment and the basket return. The step-up payment will be 18% to 24% and will be set at pricing.

Investors will be exposed to any basket decline.

The notes are expected to price in December and settle in January.

BofA Merrill Lynch is the agent.

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