Credit Suisse plans CMS curve securities linked to Russell 2000

By Susanna Moon

Chicago, March 7 – Credit Suisse AG, London branch plans to price CMS curve and Russell 2000 index-linked securities due April 1, 2019, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at between 5% and 6% for the first year, with the exact rate to be set at pricing. After that, it will accrue at 7 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 70% accrual barrier, up to a maximum rate of 7% per year. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par unless the index finishes at or above the 70% knock-in level, in which case investors will be fully exposed to any losses.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on March 28 and settle on March 31.

The Cusip number is 22546VYG5.

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