By Wendy Van Sickle
Columbus, Ohio, Nov. 30 – Credit Suisse AG, London Branch priced $40,000 of 0% CS notes due Nov. 30, 2023 linked to the Credit Suisse RavenPack AIS Balanced 5% ER index, according to a 424B2 filing with the Securities and Exchange.
The index tracks the notional performance of an algorithmic U.S. large-cap sector-rotation strategy, based on sentiment scoring extracted from news data by RavenPack's artificial intelligence algorithms. The index is composed of at least four of the eleven industry-specific sub-indices of the S&P 500 index. The index has a volatility target of 5%.
The payout at maturity will be par plus 240% of any index gain.
If the index remains flat or declines, the payout will be par.
Credit Suisse Securities (USA) LLC is the agent.
| 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: | $40,000
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| Maturity: | Nov. 30, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 240% of any index gain; if the index remains flat or declines, par
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| Initial level: | 204.0265
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| Pricing date: | Nov. 27
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| Settlement date: | Nov. 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 22551LJP6
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