Credit Suisse plans market-tied step-up autocallables on S&P Oil & Gas

By Susanna Moon

Chicago, Sept. 29 – Credit Suisse AG plans to price 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 called at par of $10 plus an annualized call premium of 11% if the index closes at or above the initial level on either of the annual observation dates.

If the notes are not called and the index finishes above the step-up value – 120% to 126% of the initial level – the payout at maturity will be par plus the index gain.

If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 20% to 26%.

Otherwise, investors will be exposed to any losses.

The exact deal terms 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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