Filed pursuant to Rule 433 Registration Statement No. 333-158199-10 FINANCIAL PRODUCTS FACT SHEET (U549) |
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Offering Period: December 5, 2011 — December 26, 2011
1 year High/Low Coupon Callable Yield Notes Linked to
the S&P 500® Index, the Russell 2000® Index and the United States Oil Fund, LP
Return Profile
• | 1 year High/Low Coupon Callable Yield Notes linked to the performance of the S&P 500® Index, the Russell 2000® Index and the United States Oil Fund, LP. |
• | Interest payments will be paid in arrears at the Applicable Rate per annum, calculated on a 30/360 basis, depending upon whether a Coupon Knock-In Event occurs on any Observation Date, subject to Early Redemption. |
• | If a Knock-In Event does not occur during the Observation Period, the investor will be entitled to receive their principal amount at maturity, subject to the credit risk of the Issuer. |
• | If a Knock-In Event occurs during the Observation Period, the payment at maturity will be determined by the Underlying Return of the Lowest Performing Underlying. |
Terms & Knock-In Event
Issuer: | Credit Suisse AG ("Credit Suisse"), Nassau Branch. |
Trade Date: | Expected to be December 27, 2011. |
Settlement Date: | Expected to be December 30, 2011. |
Underlyings: | S&P 500® Index, the Russell 2000® Index and the United States Oil Fund LP |
Applicable Rate: |
• If a Coupon Knock-In Event does not occur on any Observation Date, the Applicable Rate is expected to be between [13.50-15.50]% per annum (to be set on the Trade Date). • If a Coupon Knock-In Event occurs on any Observation Date, for such period and each subsequent interest period, the Applicable Rate is expected to be 1.0% per annum (to be set on the Trade Date). Interest will be calculated on a 30/360 basis. |
Interest Payment Dates: | March 30, 2012, June 29, 2012, September 28, 2012 and the Maturity Date, unless redeemed earlier. |
Observation Dates: | March 27, 2012, June 26, 2012, September 25, 2012 and the Valuation Date |
Coupon Knock-In Event: | A Coupon Knock-In Event occurs if the closing level of any Underlying is less than or equal to its Knock-In Level on any of the Observation Dates. |
Early Redemption: | Prior to the Maturity Date, the Issuer may redeem the securities on any Interest Payment Date scheduled to occur on or after March 30, 2012 upon notice on or before the relevant Early Redemption Notice Date at 100% of the principal amount plus accrued but unpaid interest. |
Early Redemption Notice Dates: | Notice of Early Redemption will be provided prior to the relevant Interest Payment Date on or before March 27, 2012, June 26, 2012 and September 25, 2012, as applicable. |
Knock-In Level: | For each Underlying, the Knock-In Level will be approximately 60.00% of the Initial Level for such Underlying. |
Knock-In Event: | A Knock-In Event occurs if the closing level of any Underlying is less than or equal to its Knock-In Level on any trading day for that Underlying during the Observation Period. |
Initial Level: | For each Underlying, the closing level of such Underlying on the Trade Date. |
Final Level: | For each Underlying, the closing level of such Underlying on the Valuation Date. |
Redemption Amount: | Subject to Early Redemption, for each $1,000 principal amount of securities (a) if a Knock-In Event occurs, $1,000 x (1 + the Underlying Return of the Lowest Performing Underlying); (b) if a Knock-In Event does not occur, $1,000. |
Lowest Performing Underlying: | The Underlying with the lowest Underlying Return. |
Underlying Return: | For each Underlying, the Underlying Return will be calculated as follows: (Final Level – Initial Level)/Initial Level; subject to a maximum of zero. |
Observation Period: | The period from but excluding the Trade Date to and including the Valuation Date. |
Valuation Date: | December 26, 2012 |
Maturity Date: | December 31, 2012 |
CUSIP: | 22546TJB8 |
Benefits
• | Offers above-market interest payment versus ordinary fixed income investments |
• | Reduced downside risk due to a 40.00% contingent buffer |
Hypothetical Returns at Maturity
Underlying Return of the Lowest Performing Underlying | Redemption Amount per $1,000 Principal Amount (Knock-In Event Does Not Occur)(1)(2) |
Redemption Amount per $1,000 Principal Amount (Knock-In Event Occurs)(1)(2) |
50% | $1,000 | $1,000 |
40% | $1,000 | $1,000 |
30% | $1,000 | $1,000 |
20% | $1,000 | $1,000 |
10% | $1,000 | $1,000 |
0% | $1,000 | $1,000 |
-10% | $1,000 | $900 |
-20% | $1,000 | $800 |
-30% | $1,000 | $700 |
-40% | N/A | $600 |
-50% | N/A | $500 |
(1) | Does not include interest payments on the securities. |
(2) | The hypothetical Redemption Amounts set forth above are for illustrative purposes only and may not be the actual returns applicable to the investor. The numbers appearing in the table have been rounded for ease of analysis. |
Product Risks
• | Investment may result in a loss of up to 100% of principal. |
• | The securities and the payment of any amount due on the securities are subject to the credit risk of Credit Suisse. |
• | The securities will not pay more than the principal amount, plus accrued and unpaid interest, at maturity or upon early redemption. |
• | If a Coupon Knock-In Event occurs on any quarterly Observation Date, for such period and each subsequent interest period, the Applicable Rate is expected to be 1.00% per annum (to be set on the Trade Date). |
• | The Redemption Amount will be less than the principal amount even if only one Underlying causes a Knock-In Event and the Final Level of only one Underlying is below its Initial Level. |
• | If a Knock-In Event occurs, the return will be based on the individual performance of the Lowest Performing Underlying. |
• | The securities are subject to Early Redemption, which may limit an investor’s ability to accrue interest over the full term of the securities |
(See “Additional Risk Considerations” on the next page.) |
Product Summary
Horizon (years) | 1 year | |
Principal Repayment | Principal at Risk | |
Investment Objective | Income | |
Market Outlook | Neutral |
FINANCIAL PRODUCTS FACT SHEET |
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Offering Period: December 5, 2011 — December 26, 2011
1 year High/Low Coupon Callable Yield Notes Linked to
the S&P 500® Index, the Russell 2000® Index and the United States Oil Fund, LP
Additional Risk Considerations
Disclaimer
IRS Circular 230 Disclosure: Credit Suisse and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with Credit Suisse of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties.
Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early sales could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters.
This material is not a product of Credit Suisse Research Departments. Financial Products may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. Credit Suisse and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations, issuers of the stocks comprising the applicable index, indices or fund mentioned herein. Credit Suisse is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a Credit Suisse entity qualified in their home jurisdiction unless governing law permits otherwise.
This document is a summary of the terms of the securities and factors that you should consider before deciding to invest in the securities. Credit Suisse has filed a registration statement (including pricing supplement, underlying supplement, product supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this offering summary relates. Before you invest, you should read this summary together with the Preliminary Pricing Supplement dated December 5, 2011, Underlying Supplement dated June 24, 2010, Product Supplement No. U-I dated October 18, 2010, Prospectus Supplement dated March 25, 2009 and Prospectus dated March 25, 2009, to understand fully the terms of the securities and other considerations that are important in making a decision about investing in the securities. You may get these documents without cost by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, Credit Suisse, any agent or any dealer participating in this offering will arrange to send you the pricing supplement, underlying supplement, product supplement, prospectus supplement and prospectus if you so request by calling toll-free 1-(800)-221-1037.
You may access the pricing supplement related to the offering summarized herein on the SEC website at: http://www.sec.gov/Archives/edgar/data/1053092/000095010311005111/dp27571_424b2-u549.htm
You may access the underlying supplement, product supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov or by clicking on the hyperlinks to each of the respective documents incorporated by reference in the pricing supplement.