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Credit Suisse plans autocallable step-up notes tied to index basket
By Marisa Wong
Madison, Wis., March 11 - Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due March 2017 linked to an equity index basket, according to an FWP filing with the Securities and Exchange Commission.
The equally weighted basket consists of the Nasdaq 100 index and the Euro Stoxx 50 index.
If the basket level is at or above the initial level on either of two annual observation dates, the notes will be automatically called at par plus a call premium of 8% per year.
If the notes are not called, the payout at maturity will be par plus a return of 22% to 28% if the basket finishes flat or increases up to the step-up value, which is 122% to 128% of the initial level and will be set at pricing.
If the basket finishes above the step-up value, the payout will be par plus the basket return.
Otherwise, investors will be fully exposed to the basket decline.
BofA Merrill Lynch is the agent.
The notes will price in March and settle in April.
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