Published on 12/18/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4 million coupon buffered securities linked to swap rates
By Wendy Van Sickle
Columbus, Ohio, Dec. 18 – Credit Suisse AG, London Branch priced $4 million of 12% coupon buffered securities due Dec. 18, 2018 linked to a 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 40% of the initial spread, the payout at maturity will be par. Otherwise, investors will lose 2.5% for each 1% the final spread falls beyond 50%.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Coupon buffered securities
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Reference rates: | 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate
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Amount: | $4 million
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Maturity: | Dec. 18, 2018
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Coupon: | 12%, payable monthly
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Price: | Par
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Payout at maturity: | If final spread of the 30-year swap rate minus the two-year swap rate is at least 40% of initial spread, par; otherwise, 2.5% loss for each 1% final spread falls beyond 60%
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Initial spread: | 0.643%
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Buffer amount: | 0.2572%, 40% of initial spread
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Pricing date: | Dec. 13
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Settlement date: | Dec. 18
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4%
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Cusip: | 22550BSG9
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