By Marisa Wong
Morgantown, W.Va., May 9 – Credit Suisse AG, London Branch priced $1.8 million of 10.4% non-inversion securities due May 9, 2019 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 is payable monthly.
The payout at maturity will equal par of $1,000 times the spread return.
If the final spread is greater than or equal to negative 10 basis points, the spread return will equal one, for a payout of par.
If the final spread is less than negative 10 bps, the spread return will be (a) the difference of the final spread minus the barrier rate floor level of negative 30 bps divided by (b) the difference of the barrier rate ceiling level of negative 10 bps minus the barrier rate floor level of negative 30 bps. In this case, investors will receive less than par.
The payout at maturity will be zero if the final 30-year swap rate is less than the two-year swap rate by 30 bps or more.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Non-inversion 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: | $1.8 million
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| Maturity: | May 9, 2019
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| Coupon: | 10.4%, payable monthly
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| Price: | Par of $1,000
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| Payout at maturity: | Par times the spread return
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| Spread return: | If the final spread is greater than or equal to negative 10 bps, one; if the final spread is less than negative 10 bps, (a) the difference of the final spread minus the barrier rate floor level of negative 30 bps divided by (b) the difference of the barrier rate ceiling level of negative 10 bps minus the barrier rate floor level of negative 30 bps
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| Pricing date: | May 4
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| Settlement date: | May 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22550WTH0
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