New York, March 19 – Credit Suisse AG, London Branch priced $2.56 million of non-inversion securities due March 14, 2019 linked to 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 of 12% will be payable monthly.
If the final 30-year swap rate is greater than or equal to the two-year swap rate then the payout at maturity will be par.
If the final 30-year swap rate is less than the two-year swap rate by up to 20 basis points then the payout at maturity will be par minus a loss equal to the difference as a proportion of 20 bps.
The payout at maturity will be zero if the final 30-year swap rate is less than the two-year swap rate by 20 bps or more.
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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| Underlying rates: | 30-year U.S. dollar ICE swap rate and two-year U.S. dollar ICE swap rate
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| Amount: | $2,558,000
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| Maturity: | March 14, 2019
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| Coupon: | 12%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par if final 30-year swap rate is greater than or equal to two-year swap rate; par minus a loss equal to the difference as a proportion of 20 bps if final 30-year swap rate is less than the two-year swap rate by up to 20 bps; zero if final 30-year swap rate is less than the two-year swap rate by 20 bps or more
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| Pricing date: | March 9
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| Settlement date: | March 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22550WFN2
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