Credit Suisse plans step-up autocallables linked to oil & gas index

By Angela McDaniels

Tacoma, Wash., Aug. 28 – Credit Suisse AG, London Branch plans to price 0% autocallable market-linked step-up notes due September 2017 linked to the S&P Oil & Gas Exploration & 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 a call premium if the index closes at or above the initial index level on the observation date, which will occur in October 2016. The call premium is expected to be 18% to 20% and will be set at pricing.

If the notes are not called and the final index level is greater than the step-up value, 130% of the initial index 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, 30%.

If the final index level is less than the initial level, investors will be fully exposed to the decline.

BofA Merrill Lynch is the agent.

The notes will price in September and settle in October.

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