By William Gullotti
Buffalo, N.Y., May 19 – Credit Suisse AG, London Branch priced $1 million of 15% yield notes due Nov. 17, 2023 linked to the spread of the 30-Year U.S. Dollar SOFR ICE swap rate over the two-Year U.S. Dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be payable monthly.
If the final spread is greater than or equal to the spread barrier level, -0.5%, the payout at maturity will be par.
Otherwise, investors will lose 1% for every 0.01% that the final spread is less than the barrier.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Yield notes
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| Underlying spread: | 30-Year U.S. Dollar SOFR ICE swap rate minus two-Year U.S. Dollar SOFR ICE swap rate
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| Amount: | $1 million
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| Maturity: | Nov. 17, 2023
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| Coupon: | 15%, payable monthly
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| Price: | Par
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| Payout at maturity: | If final spread is greater than or equal to spread barrier level, par; otherwise, 1% loss for each 0.01% spread decline below barrier level
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| Barrier level: | -0.5%
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| Pricing date: | May 13
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| Settlement date: | May 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 5%
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| Cusip: | 22553PUV9
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