By Marisa Wong
Morgantown, W.Va., April 26 – Credit Suisse AG, London Branch priced $1.08 million of 15% non-inversion securities due April 17, 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 is 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 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
|
| Issue: | Non-inversion securities
|
| Underlying rates: | 30-year U.S. dollar ICE swap rate and two-year U.S. dollar ICE swap rate
|
| Amount: | $1,082,000
|
| Maturity: | April 17, 2019
|
| Coupon: | 15%, payable monthly
|
| Price: | Par
|
| 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
|
| Pricing date: | April 12
|
| Settlement date: | April 17
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22550WNP8
|
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