Published on 1/28/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $15.08 million leveraged CMS curve, S&P 500-linked notes
By Susanna Moon
Chicago, Jan. 28 – Credit Suisse AG priced $15.08 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Jan. 29, 2031, 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 70% 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 is distributor.
Issuer: | Credit Suisse AG
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Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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Amount: | $15,078,000
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Maturity: | Jan. 29, 2031
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Coupon: | 10% initially; beginning Jan. 29, 2017, at 10 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a cap of 10%, floor of zero; payable monthly
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Price: | Variable
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Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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Initial level: | 1,903.63
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Reference level: | 1,332.541, 70% of initial index level
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Barrier level: | 951.815, 50% of initial index level
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Pricing date: | Jan. 26
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Settlement date: | Jan. 29
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Distributor: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 22546VTV8
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