By Kiku Steinfeld
Chicago, July 3 – Credit Suisse AG, London Branch priced $168,000 of 0% CS autocallable notes due June 2, 2026 linked to the Credit Suisse RavenPack AIS Balanced 5% ER index, according to a 424B2 filing with the Securities and Exchange.
If the index closes above its trigger level on any annual trigger observation date, the notes will be automatically redeemed and the payout will be par plus an automatic redemption premium of 6% per year.
The trigger level is 102.25% of the initial index level on the first trigger observation date and increases by 225 basis points each year.
The payout at maturity will be par plus 150% of any index gain, if the index closes above its initial level. If the index is flat or falls, the payout will be par.
The index is designed to provide exposure to a hypothetical balanced portfolio while targeting a realized daily volatility of 5%. The index’s hypothetical portfolio may, under certain circumstances, include both equity exposure, in the form of large-cap U.S. equities included in an excess return version of the Credit Suisse RavenPack Artificial Intelligence Sentiment index, and fixed-income exposure, in the form of U.S. Treasury note futures contracts tracked by the Credit Suisse 10-Year U.S. Treasury Note Futures index and the Credit Suisse 2-Year U.S. Treasury Note Futures index.
Credit Suisse Securities (USA) LLC and Incapital LLC are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | CS autocallable notes
|
| Underlying index: | Credit Suisse RavenPack AIS Balanced 5% ER index
|
| Amount: | $168,000
|
| Maturity: | June 2, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 150% if index finishes above initial level; otherwise, par
|
| Call: | Automatically at par plus 6% per year if index closes at or above trigger level on any call observation date
|
| Initial level: | 211.5092
|
| Trigger levels: | 102.25% of initial level on May 28, 2020, stepping up by 225 bps a year to 113.5% of initial level on May 28, 2025
|
| Pricing date: | May 28
|
| Settlement date: | May 31
|
| Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
|
| Fees: | 4.5%
|
| Cusip: | 22552FDR0
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
