Credit Suisse to price 8% autocallable reverse convertible notes linked to Southwest Airlines

By Toni Weeks

San Luis Obispo, Calif., Feb. 4 – Credit Suisse AG plans to price 8% autocallable reverse convertible securities due Feb. 22, 2016 linked to Southwest Airlines Co. 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, 75% 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 Aug. 17, 2015 and Nov. 17, 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 Southwest Airlines stock equal to $1,000 divided by the initial price or, at the issuer’s option, the cash value of those shares.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Feb. 17 and settle Feb. 20.

The Cusip number is 22546V4J2.

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