By Tali Rackner
Norfolk, Va., Dec. 1 – Credit Suisse AG, Nassau Branch priced $257,000 of 0% CS notes due Nov. 28, 2023 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return, according to a 424B2 filing with the Securities and Exchange.
If the index return is positive, the payout at maturity will be par plus 310% of the index return. If the index return is zero or positive, the payout will be par.
The index is a rules-based index that seeks to broadly mirror the overall consumer expenditure patterns of retirees in the United States. Using data from the Consumer Expenditure Survey published by the Department of Labor’s Bureau of Labor Statistics, the index assigns category weights by computing the percentage that each of the fourteen CEX consumer spending categories represents of the total consumer expenditure of the age group classified as 65 years and older. These weights are applied to the index’s notional basket of seven equity indices (the "underlying constituent indexes") intended to represent the CEX spending categories to construct the base index. The base index is rebalanced each year to reflect the new annual CEX data made available to the public the same year. The index has exposure to the base index while also employing a mechanism that targets an annualized realized volatility of 5% by using a 20-day lookback period to adjust its level of participation in the base index daily.
The index incorporates the daily deduction of a fee of 0.50% per year and a daily notional cost of 0.02% applied to the effective change in notional exposures to the base index and referenced fixed income index, representing the notional cost of the daily rebalancing to adjust toward the target volatility of 5%.
The index is calculated on an excess return basis, so the return of its base index exposure is reduced by Libor plus 40 basis points
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Market-linked notes
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| Underlying index: | CS Retiree Consumer Expenditure 5% Blended Index Excess Return
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| Amount: | $257,000
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| Maturity: | Nov. 28, 2023
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| Coupon: | None
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus 310% of any index return; par if index remains flat or declines
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| Initial level: | 153.0942
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| Pricing date: | Nov. 20
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| Settlement date: | Nov. 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.25%
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| Cusip: | 22546VPR1
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