Credit Suisse plans leveraged CMS curve, S&P 500 index-linked notes

By Marisa Wong

Morgantown, W.Va., Sept. 8 – Credit Suisse AG plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Sept. 30, 2030, 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 10 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 75% reference 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 barrier level, 50% of the initial index level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses.

Morgan Stanley & Co. LLC will act as distributor.

The notes will price on Sept. 25 and settle on Sept. 30.

The Cusip number is 22546VLJ3.

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