Credit Suisse plans leveraged CMS curve securities linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Jan. 7 – Credit Suisse AG plans to price leveraged CMS curve and S&P 500 index-linked securities 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 be (a) 10 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 10% 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 Jan. 26.

The Cusip number is 22546VTV8.

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