Published on 12/28/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million leveraged CMS, S&P 500-linked notes
By Tali Rackner
Norfolk, Va., Dec. 28 – Credit Suisse AG priced $1 million of leveraged CMS curve securities due Dec. 28, 2026 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 10% for the first year. After that, it will be 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 10% per year, multiplied by the proportion of days on which the index closes at or above its index reference level, 75% of the initial index level. Interest will be payable monthly.
If the index finishes at or above the barrier level, 60% of the initial index level, the payout at maturity will be par.
Otherwise, investors will have one-to-one exposure to the index’s decline from its initial level.
Credit Suisse International is the agent. Morgan Stanley & Co. LLC is distributor.
| Issuer: | Credit Suisse AG
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $1 million
|
| Maturity: | Dec. 28, 2026
|
| Coupon: | 10% for the first year; after that, at 10 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above reference level, up to a cap of 10%, floor of zero; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | 2,260.96
|
| Reference level: | 1,695.72, 75% of initial index level
|
| Barrier level: | 1,356.576, 60% of initial index level
|
| Pricing date: | Dec. 22
|
| Settlement date: | Dec. 28
|
| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22548QQL2
|
|
|
|
|
© 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.
