Credit Suisse to price 21% coupon buffered securities on ICE swap rates

By Marisa Wong

Morgantown, W.Va., Feb. 22 – Credit Suisse AG, London Branch plans to price 21% coupon buffered securities due Feb. 28, 2019 linked to 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 30% of the initial spread, the payout at maturity will be par. Otherwise, investors will lose 3.33% for each 1% that the spread falls beyond 70%.

The initial spread is 0.486%, which is the spread on the Feb. 16 strike date.

Credit Suisse Securities (USA) LLC is the underwriter.

The notes will price on Feb. 23.

The Cusip number is 22550WF93.

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