Credit Suisse to price leveraged CMS curve notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Dec. 9 – Credit Suisse AG plans to price 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.

Morgan Stanley & Co. LLC will act as distributor.

The notes will price in Dec. 22.

The Cusip number is 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.