Credit Suisse to price 12% buffered notes linked to ICE swap rates

By Marisa Wong

Morgantown, W.Va., Oct. 6 – Credit Suisse AG, London Branch plans to price 12% annualized coupon buffered securities due July 16, 2018 linked to the spread between the 10-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly. The exact rate will be set at pricing.

The reference rate spread on any day is the difference of the 10-year swap rate minus the two-year swap rate.

If the final reference rate spread is at least 50% of the initial reference rate spread, the payout will be par.

Otherwise, investors will lose 1% for every 1% decline beyond the 50% buffer.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Oct. 11.

The Cusip number is 22550BKX0.

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