New Issue: Credit Suisse prices $1.46 million 8.15% autocallable reverse convertibles on Swift

By Marisa Wong

Madison, Wis., May 29 – Credit Suisse AG, London Branch priced $1.46 million of 8.15% autocallable reverse convertible securities due May 31, 2016 linked to Swift Transportation 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 at or above its initial price on Nov. 24 or Feb. 24, 2016.

The payout at maturity will be par unless the stock ever closes at or below the knock-in price – 70% 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 Swift 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 securities
Underlying stock:	Swift Transportation Co. (Symbol: SWFT)
Amount:	$1,459,000
Maturity:	May 31, 2016
Coupon:	8.15%, payable monthly
Price:	Par
Payout at maturity:	If stock ever closes at or below knock-in price during life of notes and final share price is less than initial share price, Swift shares equal to par divided by the initial share price; otherwise, par
Call:	At par if stock closes at or above initial price on Nov. 24 or Feb. 24, 2016
Initial share price:	$24.48
Barrier price:	$17.136, 70% of initial share price
Pricing date:	May 26
Settlement date:	May 29
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.1%
Cusip:	22546VDN3

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