New Issue: Credit Suisse sells $2.01 million 21% coupon buffered securities on ICE swap rates

By Marisa Wong

Morgantown, W.Va., March 5 – Credit Suisse AG, London Branch priced $2.01 million of 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%.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, London Branch
Issue:	Coupon buffered securities
Underlying rates:	30-year U.S. dollar ICE swap rate and two-year U.S. dollar ICE swap rate
Amount:	$2,005,000
Maturity:	Feb. 28, 2019
Coupon:	21%, payable monthly
Price:	Par
Payout at maturity:	If the final spread of the 30-year swap rate minus the two-year swap rate is at least 30% of the initial spread, par; otherwise, 3.33% loss for each 1% that the spread falls beyond 70%
Initial spread:	0.486% (spread on the Feb. 16 strike date)
Pricing date:	Feb. 23
Settlement date:	Feb. 28
Agent:	Credit Suisse Securities (USA) LLC
Fees:	2.5%
Cusip:	22550WF93

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