By Wendy Van Sickle
Columbus, Ohio, May 3 – Credit Suisse AG, London Branch priced $61,000 of 0% CS notes due April 28, 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 115% 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: | $61,000
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| Maturity: | April 28, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 115% of index return, subject to minimum payout of par
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| Initial level: | 212.202
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| Pricing date: | April 25
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| Settlement date: | April 30
|
| Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
|
| Fees: | 3%
|
| Cusip: | 22551LZD5
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