Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 FINANCIAL PRODUCTS FACT SHEET (U631) |
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Offering Period: April 11, 2012—April 24, 2012
18 month Callable Yield Notes Linked to the S&P 500® Index and the Russell 2000® Index
Return Profile
• | 18 month Callable Yield Notes linked to the performance of the S&P 500® Index and the Russell 2000® Index. |
• | Interest payments will be paid monthly in arrears at a rate expected to be between 5.50% - 6.50% per annum, calculated on a 30/360 basis, subject to Early Redemption. |
• | If a Knock-In Event does not occur, the investor will be entitled to receive their principal amount at maturity. |
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If a Knock-In Event occurs, the payment at maturity will be determined by the Underlying Return of the Lowest Performing Underlying. |
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Any payment on the securities is subject to our ability to pay our obligations as they become due. |
Terms & Knock-In Event
Issuer: | Credit Suisse AG ("Credit Suisse"), Nassau Branch. |
Trade Date: | Expected to be April 25, 2012. |
Settlement Date: | Expected to be April 30, 2012. |
Underlyings: | The S&P 500® Index and the Russell 2000® Index. |
Interest Rate: | Expected to be between 5.50% - 6.50% per annum, calculated on a 30/360 basis, to be set on the Trade Date. |
Interest Payment Dates: | May 30, 2012, June 29, 2012, July 30, 2012, August 30, 2012, September 28, 2012, October 30, 2012, November 30, 2012, December 31, 2012, January 30, 2013, February 28, 2013, March 29, 2013, April 30, 2013, May 30, 2013, June 28, 2013, July 30, 2013, August 30, 2013, September 30, 2013 and the Maturity Date, unless redeemed earlier. |
Early Redemption: | Prior to the Maturity Date, the Issuer may redeem the securities on any Interest Payment Date scheduled to occur on or after May 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: | May 24, 2012, June 26, 2012, July 25, 2012, August 27, 2012, September 25, 2012, October 25, 2012, November 27, 2012, December 26, 2012, January 25, 2013, February 25, 2013, March 26, 2013, April 25, 2013, May 24, 2013, June 25, 2013, July 25, 2013, August 27, 2013, September 25, 2013, as applicable |
Knock-In Level: | For each Underlying, approximately 62.5% of the Initial Level for such Underlying. |
Knock-In Event: | A Knock-In Event occurs if, on any trading day during the Observation Period, the closing level of either Underlying is equal to or less than its Knock-In Level. |
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: | October 25, 2013 |
Maturity Date: | October 30, 2013 |
CUSIP: | 22546TRB9 |
Benefits
• | Offers above-market interest payment versus ordinary fixed income investments. |
• | Reduced downside risk due to a 37.50% contingent buffer. |
Hypothetical Returns at Maturity
Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying |
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% | 0% | $1,000 | $1,000 |
40% | 0% | $1,000 | $1,000 |
30% | 0% | $1,000 | $1,000 |
20% | 0% | $1,000 | $1,000 |
10% | 0% | $1,000 | $1,000 |
0% | 0% | $1,000 | $1,000 |
-10% | -10% | $1,000 | $900 |
-20% | -20% | $1,000 | $800 |
-30% | -30% | $1,000 | $700 |
-40% | -40% | N/A | $600 |
-50% | -50% | N/A | $500 |
(1) | Does not include any expected interest payments on the securities, which in the aggregate is expected to be approximately $90.00 (the midpoint of the expected range) per $1,000 principal amount of securities, assuming an Early Redemption does not occur. |
(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 value of 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. |
• | 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 and the Final Level is less than the Initial Level, the return will be based on 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 (months) | 18 months | |
Principal Repayment | Principal at Risk | |
Investment Objective | Income | |
Market Outlook | Neutral |
FINANCIAL PRODUCTS FACT SHEET |
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Offering Period: April 11, 2012—April 24, 2012
18 month Callable Yield Notes
Additional Risk Considerations
The risks set forth in the section entitled “Product Risks” on the preceding page and this section “Additional Risk Considerations” are only intended as summaries of some of the risks relating to an investment in the securities. Prior to investing in the securities, you should, in particular, review the “Product Risks” and “Additional Risk Considerations” sections herein, the “Selected Risk Considerations” section in the pricing supplement and the “Risk Factors” section in the product supplement, which set forth risks related to an investment in the securities.
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 April 11, 2012, Underlying Supplement dated March 23, 2012, Product Supplement No. U-I dated March 23, 2012, Prospectus Supplement dated March 23, 2012 and Prospectus dated March 23, 2012, 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/1053092/000095010312001891/dp29891_424b2-u631.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.