New Issue: Credit Suisse prices $7.84 million coupon buffered securities linked to swap rates

By Wendy Van Sickle

Columbus, Ohio, Oct. 16 – Credit Suisse AG, London Branch priced $7,843,000 of 12% coupon buffered securities due July 16, 2018 linked to a 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 will be payable monthly.

If the final spread of the 10-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.

Issuer:	Credit Suisse AG, London Branch
Issue:	Coupon buffered securities
Reference rates:	10-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate
Amount:	$7,843,000
Maturity:	July 16, 2018
Coupon:	12%, payable monthly
Price:	Par
Payout at maturity:	If final spread of the 10-year swap rate minus the two-year swap rate is at least 50% of initial spread, par; otherwise, 2% loss for each 1% final spread falls beyond 50%
Initial spread:	0.517%
Buffer amount:	0.259%, 50% of initial spread
Pricing date:	Oct. 11
Settlement date:	Oct. 16
Agent:	Credit Suisse Securities (USA) LLC
Fees:	4%
Cusip:	22550BKX0

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