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Credit Suisse plans leveraged CMS curve securities linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Sept. 11 – Credit Suisse AG plans to price leveraged CMS curve and S&P 500 index-linked securities due Sept. 30, 2030, 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 be (a) 7.5 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, 70% of the initial level, subject to a maximum rate of 11% per year. Interest will be 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.
The notes will price Sept. 25 and settle Sept. 30.
The Cusip number is 22546VMD5.
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