New Issue: Credit Suisse sells $9.09 million buffered notes on ICE swap rates

By Marisa Wong

Morgantown, W.Va., Feb. 16 – Credit Suisse AG, London Branch priced $9.09 million of 10.5% coupon buffered securities due Feb. 15, 2018 linked to the spread of the 30-year U.S. dollar ICE swap rate over 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 payout at maturity will be par unless the final spread is less than 50% of the initial spread, in which case investors will lose 2% for every 1% decline beyond the 50% buffer.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Coupon buffered securities
Underlying:	Spread of 30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate
Amount:	$9,094,000
Maturity:	Feb. 15, 2018
Coupon:	10.5%, payable monthly
Price:	Par
Payout at maturity:	Par unless final spread is less than 50% of the initial spread, in which case investors will lose 2% for every 1% decline beyond the 50% buffer
Initial spread:	111 bps
Buffer level:	55.5 bps, 50% of initial spread
Pricing date:	Feb. 10
Settlement date:	Feb. 15
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.63%
Cusip:	22548QUA1

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