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Credit Suisse to price CS notes tied to Credit Suisse RavenPack AIS
By Sarah Lizee
Olympia, Wash., May 8 – Credit Suisse AG, London Branch will price 0% CS notes due June 3, 2021 linked to the Credit Suisse RavenPack AIS Balanced 5% ER index, according to a 424B2 filing with the Securities and Exchange.
The index tracks the notional performance of an algorithmic U.S. large-cap sector-rotation strategy, based on sentiment scoring extracted from news data by RavenPack's artificial intelligence algorithms. The index is composed of at least four of the eleven industry-specific sub-indices of the S&P 500 index. The index has a volatility target of 5%.
The payout at maturity will be par plus between 105% and 120% of any index gain.
If the index remains flat or declines, the payout will be par.
Credit Suisse Securities (USA) LLC is the agent.
The notes will price on May 31.
The Cusip number is 22552FDN9.
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