New Issue: Credit Suisse prices $1.25 million CMS curve, Russell 2000-linked notes

By Susanna Moon

Chicago, March 9 – Credit Suisse AG, London Branch priced $1.25 million of CMS curve and Russell 2000 index-linked notes due March 11, 2019, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 5.5% for the first year. After that, it will be 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 barrier level, 70% of the initial level, up to a maximum rate of 7% per year. Interest is payable monthly and cannot be less than zero.

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

Credit Suisse Securities (USA) LLC is the agent.

Issuer:	Credit Suisse AG, London Branch
Issue:	Fixed-to-floating notes
Underlyings:	30-year CMS rate, two-year CMS rate, Russell 2000 index
Amount:	$1.25 million
Maturity:	March 11, 2019
Coupon:	5.5% initially; beginning March 9, 2017, 7 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above 70% barrier level, capped at 7%; payable monthly
Price:	Par
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to any losses
Initial level:	1,081.935
Barrier level:	757.3545, 70% of initial level
Pricing date:	March 4
Settlement date:	March 9
Agent:	Credit Suisse Securities (USA) LLC
Fees:	1.75%
Cusip:	22546VYG5

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