New Issue: Credit Suisse prices $200,000 8.5% autocallable reverse convertibles on Southwest

By Susanna Moon

Chicago, Feb. 20 – Credit Suisse AG, London Branch priced $200,000 of 8.5% annualized autocallable reverse convertible notes due Feb. 22, 2016 linked to Southwest Airlines Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes will be called at par if the stock closes above its initial level on Aug. 17 or Nov. 17, 2015.

The payout at maturity will be par unless the stock ever falls below the barrier level – 75% of the initial share price – during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Southwest shares equal to par divided by the initial share price.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Autocallable reverse convertible notes
Underlying stock:	Southwest Airlines Co. (Symbol: LUV)
Amount:	$200,000
Maturity:	Feb. 22, 2016
Coupon:	8.5%, payable monthly
Price:	Par
Payout at maturity:	If stock ever closes below barrier level during the life of the notes and final share price is less than initial share price, 23.47969 Southwest shares; otherwise, par
Call:	At par if stock closes above the initial level on Aug. 17 or Nov. 17, 2015
Initial share price:	$42.59
Barrier price:	$31.9425, 75% of initial share price
Pricing date:	Feb. 17
Settlement date:	Feb. 20
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.1%
Cusip:	22546V4J2

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