By Marisa Wong
Morgantown, W.Va., Feb. 5 – Credit Suisse AG, London Branch priced $62,000 of 0% CS notes due Feb. 2, 2022 linked to the Credit Suisse RavenPack AIS Balanced 5% ER index, according to a 424B2 filing with the Securities and Exchange.
The index is designed to provide exposure to a hypothetical “balanced” portfolio, which may include both (a) 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 (b) fixed-income exposure in the form of U.S. Treasury note futures contracts tracked by the Credit Suisse 10-year U.S. Treasury notes future index and the Credit Suisse two-year U.S. Treasury note futures index. The index has a volatility target of 5%.
The index is composed of at least four of the 11 industry-specific sub-indexes of the S&P 500 index.
The payout at maturity will be par plus 165% of any index gain.
If the index remains flat or declines, the payout will be par.
Credit Suisse Securities (USA) LLC and Incapital LLC are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | CS notes
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| Underlying index: | Credit Suisse RavenPack AIS Balanced 5% ER index
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| Amount: | $62,000
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| Maturity: | Feb. 2, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 165% of any index gain; if the index remains flat or declines, par
|
| Initial level: | 206.2687
|
| Pricing date: | Jan. 28
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| Settlement date: | Jan. 31
|
| Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
|
| Fees: | 3%
|
| Cusip: | 22551LRA0
|
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