By Wendy Van Sickle
Columbus, Ohio, July 20 – Credit Suisse AG, London Branch priced $2.76 million of 15.5% non-inversion securities due June 18, 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 20 basis points, the spread return will equal one, for a payout of par.
If the final spread is less than negative 20 bps, the spread return will be (a) the difference of the final spread minus the barrier rate floor level of negative 40 bps divided by (b) the difference of the barrier rate ceiling level of negative 20 bps minus the barrier rate floor level of negative 40 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 40 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: | $2.76 million
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Maturity: | June 18, 2019
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Coupon: | 15.5%, 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 20 bps, one; if the final spread is less than negative 20 bps, (a) the difference of the final spread minus the barrier rate floor level of negative 40 bps divided by (b) the difference of the barrier rate ceiling level of negative 20 bps minus the barrier rate floor level of negative 40 bps
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Pricing date: | July 16
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Settlement date: | July 18
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4%
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Cusip: | 22550BV75
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