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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.
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