Credit Suisse plans coupon buffered securities linked to swap rates

By Wendy Van Sickle

Columbus, Ohio, Feb. 21 – Credit Suisse AG, London Branch plans to price 10.5% coupon buffered securities due Feb. 28, 2018 linked to a the spread between the 30-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 will be payable monthly.

If the final spread of the 30-year swap rate minus the two-year swap rate is at least 50% of the initial spread, the payout at maturity will be par. Otherwise, investors will lose 2% for each 1% the final spread falls beyond 50%.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes are expected to price Feb. 23 and settle Feb. 28.

The Cusip number is 22548QVL6.

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