By Kiku Steinfeld
Chicago, Dec. 19 – Credit Suisse AG, London Branch priced $600,000 of 0% barrier notes due Oct. 27, 2023 linked to the linked to the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
At maturity, if the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is greater than or equal to negative 0.4%, the payout at maturity will be the spread return, capped at 150%. The spread return will be calculated using the final spread minus the spread barrier level times 100.
Otherwise, investors will be fully exposed to the negative spread return. The spread return in this case would be negative 0.4% minus the final spread times 100.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Barrier notes
|
| Underlying rates: | 30-year U.S. dollar SOFR ICE swap rate and two-year U.S. dollar SOFR ICE swap rate
|
| Amount: | $600,000
|
| Maturity: | Oct. 27, 2023
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the spread of the 30-year swap rate minus the two-year swap rate is greater than or equal to the spread barrier, investors will receive the spread return (final spread minus negative 0.4% spread barrier level times 100), capped at 150%; otherwise, investors will be exposed to the negative spread return (negative 0.4% minus final spread times 100)
|
| Spread barrier level: | -0.4%
|
| Cap: | 150%
|
| Pricing date: | April 27
|
| Settlement date: | April 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 5%
|
| Cusip: | 22553PTK5
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
