Credit Suisse to price CS notes linked to Equity Sector Rotation Blue

By Angela McDaniels

Tacoma, Wash., Nov. 4 - Credit Suisse AG plans to price 0% CS notes due May 29, 2019 linked to the Credit Suisse Equity Sector Rotation Blue Index Target Volatility 5%, according to a 424B2 filing with the Securities and Exchange Commission.

The index is a rules-based index with long exposure to 10 S&P 500 Sector indexes. The individual weights of notional exposure to the Sector indexes are determined each month by reference to signals relating to the implied volatility and skew of certain options on the stocks in the those indexes.

The 10 indexes are the S&P 500 Consumer Discretionary Sector TR index, the S&P 500 Consumer Staples Sector TR index, the S&P 500 Energy Sector TR index, the S&P 500 Financials Sector TR index, the S&P 500 Health Care Sector TR index, the S&P 500 Industrials Sector TR index, the S&P 500 Information Technology Sector TR index, the S&P 500 Materials Sector TR index, the S&P 500 Telecommunication Services Sector TR index and the S&P 500 Utilities Sector TR index.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 155% to 165% of the index return. The exact participation rate will be set at pricing. If the final index level is less than or equal to the initial index level, the payout will be par.

Credit Suisse Securities (USA) LLC is the agent.

The notes are expected to price Nov. 25 and settle Nov. 29.

The Cusip number is 22547QCE4.

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