Credit Suisse plans market-linked step-up notes tied to index basket

By Toni Weeks

San Luis Obispo, Calif., July 9 – Credit Suisse AG plans to price 0% market-linked step-up notes due July 2019 linked to a basket consisting of the Euro Stoxx 50 index and the Dow Jones industrial average, equally weighted, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket finishes above the step-up value, 119% to 125% of the initial value, the payout at maturity will be par plus the basket return. If the basket finishes at or above the initial value and at or below the step-up value, the payout will be par plus the step-up payment of 19% to 25%.

Investors will receive par if the basket falls by up to 10% and will lose 1% for each 1% basket decline beyond 10%.

The exact terms will be set at pricing.

The notes are expected to price in July and settle in August.

BofA Merrill Lynch is the agent.

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