By Jennifer Chiou
New York, Feb. 26 – Credit Suisse AG priced another $23 million of fixed-to-floating callable leveraged CMS curve and Russell 2000 index-linked notes due Feb. 27, 2030, bringing the total amount to $30 million, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. After that, it will accrue at 8 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 60% barrier level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
If the index finishes at or above the trigger level, 50% of the initial index level, the payout at maturity will be par.
Otherwise, investors will be fully exposed to any losses.
The notes may be called at par after one year.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley & Co. LLC as dealer.
| Issuer: | Credit Suisse AG
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| Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $30 million (up from original $7 million)
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| Maturity: | Feb. 27, 2030
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| Coupon: | 10% initially; beginning Feb. 27, 2016, 8 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a cap of 10%, floor of zero; payable monthly
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| Price: | Variable
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| Payout at maturity: | If index finishes at or above trigger level, par; otherwise, full exposure to losses
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| Coupon barrier: | 60% of initial index level
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| Trigger level: | 50% of initial index level
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| Pricing date: | Feb. 4 for original $7 million
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| Upsize date: | Feb. 24
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| Settlement date: | Feb. 27
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| Agent: | Credit Suisse Securities (USA) LLC
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| Dealer: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 22546V4G8
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