The construction of the Index originally used 3-month USD LIBOR. In connection with the discontinuation of such rate, Credit Suisse International ratified amendments to the index methodology (the customer notice can be found here). Following January 3, 2022, the Index methodology will use, as a replacement to 3-month USD LIBOR, the sum of (i) the Secured Overnight Financing Rate (SOFR) and (ii) a spread that will progress from 0.10% to 0.26% through June 30, 2023. Following July 3, 2023, the Index methodology will use the sum of (i) SOFR and (ii) a spread of 0.26%.
The Credit Suisse truVol® US Target Sectors Index is a rules-based multi-asset index that aims to provide exposure to sectors of the S&P 500® positioned for growth. The Index implements a strategy that combines exposure to U.S. equities and fixed income and seeks to adapt to various market conditions. The Index also applies a bespoke volatility control mechanism designed by Salt Financial to identify changing market conditions using intraday data.
A consultation notice on proposed amendments to the methodology of the Credit Suisse truVol® US Target Sectors Index can be found here.
Index At A Glance
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U.S. Sectors:
An equity strategy seeking to gain exposure to S&P 500® sectors with lower volatility and the potential for growth -
Diversification:
A multi-asset portfolio diversified across equities and fixed income intended to benefit from opportunities in multiple market environments -
Agile Risk Control:
A state-of-the-art volatility target mechanism relying on intraday analysis to dynamically adjust the allocation to equity, aiming at navigating changing market conditions and controlling the risk exposure of the index
Key Characteristics
| Bloomberg Ticker | CSEATVUS <Index> |
| Category | Dynamic Asset Allocation |
| Return Type | Excess Return (it reflects the return of components net of the cost of funding) |
| Currency | USD |
| Live Date | March 19, 2021 |
| Index Calculation Fees | 0.75% p.a. deducted daily |
| Asset Class | U.S. Multi-Asset |
Please refer to the Risk Factors for additional information on the Index.