By William Gullotti
Buffalo, N.Y., April 1 – Credit Suisse AG, London Branch priced $1.6 million of contingent coupon securities due Sept. 29, 2023 linked to the spread between the 30-year U.S. Dollar SOFR ICE swap rate and the two-year U.S. Dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 12% if the spread of the 30-year swap rate minus the two-year swap rate is greater than or equal to –0.53% on the relevant review date.
If the final spread is greater than or equal to –0.53%, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for every 0.01% that the spread is less than –0.53%.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon securities
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Underlying rates: | 30-year U.S. Dollar SOFR ICE swap rate, two-year U.S. Dollar SOFR ICE swap rate
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Amount: | $1.6 million
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Maturity: | Sept. 29, 2023
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Coupon: | 12% per year, payable monthly, if the reference rate spread is greater than or equal to the interest barrier on the relevant review date; reference rate spread is the 30-year swap rate minus the two-year swap rate
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Price: | Par
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Payout at maturity: | If the reference rate spread at maturity is greater than or equal to –0.53%, par plus the final coupon; otherwise, lose 1% for every 0.01% that the spread is below trigger level
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Interest barrier: | –0.53%
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Trigger level: | –0.53%
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Pricing date: | March 29
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Settlement date: | March 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 5%
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Cusip: | 22553PPG8
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