By Marisa Wong
Los Angeles, May 19 – Credit Suisse AG, London Branch priced $5.43 million of 0% CS notes due May 18, 2027 linked to the Credit Suisse RavenPack News Algo index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above its initial level, the payout at maturity will be par plus 3.9 times the index gain. If the index finishes flat or falls, investors will receive par.
The underlying index is designed to provide exposure to a hypothetical portfolio while targeting a realized daily volatility of 5%. The hypothetical portfolio may, in some cases, include both: equity exposure, in the form of large-cap U.S. equities included in an excess return version of the Credit Suisse RavenPack AIS 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 is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | CS notes
|
| Underlying index: | Credit Suisse RavenPack News Algo index
|
| Amount: | $5,429,000
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| Maturity: | May 18, 2027
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus 3.9 times any index gain; otherwise, par
|
| Initial level: | 240.1800
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| Pricing date: | May 13
|
| Settlement date: | May 18
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22553PV89
|
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