By Devika Patel
Knoxville, Tenn., Jan. 21 – Credit Suisse AG, Nassau Branch priced $4.44 million of 0% CS notes due April 22, 2021 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 of $1,000 plus 210% 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 14 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 is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | CS notes
|
| Underlying index: | CS Retiree Consumer Expenditure 5% Blended Index Excess Return
|
| Amount: | $4,438,000
|
| Maturity: | April 22, 2021
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | If index return is positive, par plus 210% of index return; if index return is zero or positive, par
|
| Initial index level: | 149.1486
|
| Pricing date: | Jan. 19
|
| Settlement date: | Jan. 22
|
| Agent: | Credit Suisse
|
| Fees: | 1%
|
| Cusip: | 22546VU79
|
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