New Issue: Credit Suisse sells $4.88 million 11% buffered notes on ICE swap spread

By Marisa Wong

Morgantown, W.Va., Nov. 17 – Credit Suisse AG, London Branch priced $4.88 million of 11% coupon buffered securities due Nov. 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 will be payable monthly.

If the final spread is at least 50% of the initial spread, the payout at maturity will be par. Otherwise, investors will lose 2% for each 1% that the spread falls beyond 50%.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, London Branch
Issue:	Coupon buffered securities
Underlying spread:	30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate
Amount:	$4,882,000
Maturity:	Nov. 15, 2018
Coupon:	11%, payable monthly
Price:	Par
Payout at maturity:	If final spread is at least 50% of initial spread, par; otherwise, 2% loss for each 1% spread decline beyond 50%
Initial spread:	0.748%
Buffer level:	0.374%, 50% of initial spread
Pricing date:	Nov. 10
Settlement date:	Nov. 15
Agent:	Credit Suisse Securities (USA) LLC
Fees:	3.5%
Cusip:	22550BNX7

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