Credit Suisse plans autocallable market-linked step-up notes on S&P

By Wendy Van Sickle

Columbus, Ohio, Nov. 2 – Credit Suisse AG plans to price market-linked step-up notes due November 2018 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the step-up value, the payout at maturity will be par of $10 plus the index return. The step-up value is expected to be 112% to 118% of the initial index level.

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, which is expected to be 12% to 18%.

If the final index level is less than the initial level, investors will lose 1% for every 1% that the index declines below its initial level.

The exact step-up value and step-up payment will be set at pricing.

The notes are expected to price and settle in November.

BofA Merrill Lynch is the agent.

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