New Issue: Credit Suisse prices $15.08 million leveraged CMS curve, S&P 500-linked notes

By Susanna Moon

Chicago, Jan. 28 – Credit Suisse AG priced $15.08 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Jan. 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year. After that, it will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 70% reference level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.

If the index finishes at or above the barrier level, 50% of the initial index level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses.

Morgan Stanley & Co. LLC is distributor.

Issuer:	Credit Suisse AG
Issue:	Leveraged CMS curve and Russell 2000 index-linked notes
Underlyings:	30-year CMS rate, two-year CMS rate, S&P 500 index
Amount:	$15,078,000
Maturity:	Jan. 29, 2031
Coupon:	10% initially; beginning Jan. 29, 2017, at 10 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a cap of 10%, floor of zero; payable monthly
Price:	Variable
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to losses
Initial level:	1,903.63
Reference level:	1,332.541, 70% of initial index level
Barrier level:	951.815, 50% of initial index level
Pricing date:	Jan. 26
Settlement date:	Jan. 29
Distributor:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	22546VTV8

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