Credit Suisse plans 11%-13% autocallable reverse convertibles on GameStop

By Jennifer Chiou

New York, March 2 – Credit Suisse AG plans to price 11% to 13% autocallable reverse convertible securities due March 14, 2016 linked to GameStop Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The exact coupon will be set at pricing. Interest will be payable monthly.

A knock-in event will occur if the stock price closes at or below the knock-in price, 60% of the initial share price, on any trading day during the life of the notes.

The notes will be called at par plus accrued interest if the stock closes at or above the initial share price on any of two trigger observation dates, which are Sept. 9, 2015 and Dec. 9, 2015.

If the notes are not called and a knock-in event does not occur, or if it does but the final share price is greater than or equal to the initial price, the payout at maturity will be par.

If a knock-in event occurs and the final share price is less than the initial price, investors will receive a number of shares of GameStop stock equal to $1,000 divided by the initial price or, at the issuer’s option, the cash value of those shares.

The notes (Cusip: 22546V6Q4) will price on March 10 and settle on March 13.

Credit Suisse Securities (USA) LLC is the agent.

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