Credit Suisse prices $23.73 million leveraged CMS curve and S&P 500-linked notes due 2030

By Sheri Kasprzak

New York, Sept. 30 – Among the larger pickings in structured products on Wednesday was an S&P 500 index-linked deal from Credit Suisse AG, London Branch. The investment bank offered $23.73 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked securities.

The securities are due Sept. 30, 2030.

The coupon will be fixed at 10% for the first year. After that it will be 7.5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the index reference level, 70% of the initial level, subject to an 11% maximum rate per year.

If the index finishes at or above the 50% barrier level, the payout at maturity is par. Otherwise, investors are fully exposed to the index’s decline.

Credit Suisse priced $6.41 million of 0% trigger performance securities linked to the S&P 500.

The securities are due Sept. 30, 2025 and pay par of $10 plus 170% of the index return if the index return is positive.

If the index return is zero or negative and the final level is greater than or equal to the trigger level of 50% of the initial level, the payout at maturity is par.

If the final level is less than the trigger level, investors are fully exposed to the decline in the index from the initial level.

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