New Issue: Credit Suisse prices $14 million leveraged CMS, S&P 500-linked notes

By Marisa Wong

Morgantown, W.Va., April 29 – Credit Suisse AG priced $14 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due April 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% initially. Beginning Oct. 29, 2017, it will accrue at 12 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 75% 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 S&P 500 index-linked notes
Underlyings:	30-year CMS rate, two-year CMS rate, S&P 500 index
Amount:	$14 million
Maturity:	April 29, 2031
Coupon:	10% initially; beginning Oct. 29, 2017, at 12 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above reference level, up to a cap of 10%, floor of zero; payable monthly
Price:	Par
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to losses
Initial level:	2,091.70
Reference level:	1,568.775, 75% of initial index level
Barrier level:	1,045.85, 50% of initial index level
Pricing date:	April 26
Settlement date:	April 29
Distributor:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	22548Q2R5

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