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Published on 9/26/2014 in the Prospect News Structured Products Daily.

Credit Suisse plans autocallable step-up notes linked to S&P Oil & Gas

By Angela McDaniels

Tacoma, Wash., Sept. 26 – Credit Suisse AG plans to price 0% autocallable market-linked step-up notes due October 2016 linked to the S&P Oil & Gas Exploration and Production Select Industry index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus 11% if the index closes at or above the initial index level on the observation date, which will occur roughly one year after the pricing date.

If the notes and not called and the final index level is greater than the step-up value, 120% to 126% of the initial 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, which is expected to be 20% to 26%.

If the final index level is less than the initial index level, investors will have one-to-one exposure to the decline.

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

BofA Merrill Lynch is the agent.

The notes will price in October and settle in November.


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