By Angela McDaniels
Tacoma, Wash., April 4 – Credit Suisse AG, London Branch priced $340,000 of 0% CS notes due March 31, 2022 linked to the Credit Suisse RavenPack AIS Balanced 5% ER index, according to a 424B2 filing with the Securities and Exchange.
The payout at maturity will be par plus 125% of any index gain. If the index 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
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Issue: | CS notes
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Underlying index: | Credit Suisse RavenPack AIS Balanced 5% ER index
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Amount: | $340,000
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Maturity: | March 31, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 125% of index return, subject to minimum payout of par
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Initial level: | 211.3442
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Pricing date: | March 26
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Settlement date: | March 29
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Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
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Fees: | 3%
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Cusip: | 22551LZD5
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