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Credit Suisse plans autocallable step-up notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., March 31 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due April 2018 linked to the S&P 500 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 7.5% to 8.5% per year if the index closes at or above the initial index level on either annual observation date. The exact call premium will be set at pricing.
If the notes are not called and the final index level is greater than the step-up value, 125% 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, 25%.
If the final index level is less than the initial index level, investors will be fully exposed to the decline.
BofA Merrill Lynch is the agent.
The notes will price and settle in April.
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