Published on 10/29/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $11.37 million CMS curve, S&P 500-linked notes
By Angela McDaniels
Tacoma, Wash., Oct. 29 – Credit Suisse AG priced $11.37 million of leveraged CMS curve and S&P 500 index-linked notes due Oct. 30, 2030, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is fixed at 10% for the first year. After that, it will be (a) eight times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index closes at or above the index reference level, 65% of the initial level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.
The issuer said it may increase the issue size prior to settlement but is not required to do so.
Morgan Stanley & Co. LLC is the distributor.
| Issuer: | Credit Suisse AG
|
| Issue: | CMS curve and S&P 500-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $11,366,000
|
| Maturity: | Oct. 30, 2030
|
| Coupon: | 10% initially; beginning Oct. 30, 2016, (a) eight times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index closes at or above index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
|
| Price: | Par
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | 2,065.89
|
| Barrier level: | 1,032.9450, 50% of initial level
|
| Index reference level: | 1,342.8285, 65% of initial level
|
| Pricing date: | Oct. 27
|
| Settlement date: | Oct. 30
|
| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546VNQ5
|
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