New York, July 31 – Credit Suisse AG upsized to $16 million its offering of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due July 31, 2030, according to a 424B2 filing with the Securities and Exchange Commission.
The deal was initially $10 million in size.
The coupon will be fixed at 10% for the first year. After that, it will accrue at 8 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 60% 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, Russell 2000 index
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| Amount: | $16 million, increased from $10 million
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| Maturity: | July 31, 2030
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| Coupon: | 10% initially; beginning July 31, 2016, 8 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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| Reference level: | 60% of initial index level
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| Barrier level: | 50% of initial index level
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| Pricing date: | July 7
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| Settlement date: | July 31
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| Distributor: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 22546VH58
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