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 Balanced Trend 5% Index includes global components across asset classes to provide diversification and to help reduce portfolio risk. The Index implements a three-step allocation methodology which combines a short-term trend and a long-term value strategy with a dynamic daily risk control mechanism.

A consultation notice on proposed amendments to the methodology of the Credit Suisse Balanced Trend 5% Index can be found here


Key Characteristics

Bloomberg Ticker CSTREND5 <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 November 20, 2017
Index Calculation Fees 0.5% p.a. deducted daily
Asset Class Global Multi-Asset components

Please refer to the Risk Factors for additional information on the Index.