Credit Suisse plans autocallable step-up notes linked to Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., Feb. 28 - Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due March 2017 tied to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above its initial level on an annual observation date, the notes will be automatically redeemed at par plus a premium of 11% per year.

If the notes are not called and the index finishes above the step-up value, 123% to 129% of the initial level, the payout at maturity will be par plus the index return. If the index finishes at or below the step-up value and at or above the initial level, the payout will be par plus the step-up payment of 23% to 29%. Investors will be fully exposed to any losses.

The exact terms will be set at pricing.

BofA Merrill Lynch is the agent.

The notes will price in March and settle in April.

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