Published on 8/27/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million more CMS curve, Russell 2000-linked notes
By Angela McDaniels
Tacoma, Wash., Aug. 27 – Credit Suisse AG priced $1 million of additional leveraged CMS curve and Russell 2000 index-linked notes due Aug. 28, 2030, according to a 424B2 filing with the Securities and Exchange Commission.
The original $10 million of notes priced Aug. 4. The issue size is now $11 million. The issuer may further increase the issue size prior to settlement but is not required to do so.
The coupon is fixed at 10% for the first two years. After that, it will be (a) seven 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, 60% 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.
Morgan Stanley & Co. LLC is the distributor.
| Issuer: | Credit Suisse AG
|
| Issue: | CMS curve and Russell 2000-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $11 million, increased from $10 million
|
| Maturity: | Aug. 28, 2030
|
| Coupon: | 10% initially; beginning Aug. 28, 2017, (a) seven 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: | Variable prices
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | 1,104.097, index’s closing level on Aug. 25
|
| Barrier level: | 552.0485, 50% of initial level
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| Index reference level: | 662.4582, 60% of initial level
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| Pricing date: | Aug. 4
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| Upsized: | Aug. 26
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| Settlement date: | Aug. 28
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| Distributor: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546VJG2
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