a53032.htm - Generated by SEC Publisher for SEC Filing
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Filed pursuant to Rule 433
Registration Statement No. 333-180300-03
April 5, 2013 |
Silver Shares Covered Call ETN
The Silver Shares Covered Call Exchange Traded Notes (the “ETNs”) are senior, unsecured debt securities issued by Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch that are linked
to the return of the Credit Suisse NASDAQ Silver FLOWSTM (Formula-Linked OverWrite Strategy) 106 Index (the “Index”). The Index seeks to implement a “covered call” investment strategy by maintaining a notional long
position in shares of the iShares® Silver Trust ETF (SLV UP <Equity>) (the “SLV shares”) while notionally selling monthly out-of-the-money call options on that position. We intend to list the ETNs on The Nasdaq Stock
Market (“Nasdaq”) under the ticker symbol “SLVO”1. The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in a covered call strategy on SLV shares. The ETNs
pay a monthly variable cash coupon based on the notional premiums received from selling the calls.
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| ETN ticker |
SLVO |
| Intraday indicative value ticker |
SLVO.IV |
| Bloomberg Index ticker |
QSLVO |
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| CUSIP/ISIN |
22542DFC9/US22542DFC92 |
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| Primary exchange |
Nasdaq1 |
| ETN annual investor fee |
0.65%* |
| ETN inception date |
April , 2013 |
| Underlying |
Credit Suisse NASDAQ |
| Silver FLOWSTM 106 Index |
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| *Because of daily compounding, the actual investor fee realized
may exceed 0.65% per annum. |
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1We expect that the ETNs will be listed on Nasdaq. Credit
Suisse has no obligation to maintain any listing on Nasdaq or any other exchange and we may delist the ETNs at any time.
Index Overview
| n | | The Index was created by Credit Suisse and is published and calculated by NASDAQ OMX. |
| n | | Call options with approximately 40 days to expiry are sold over a 5-day period each
month within the Index. |
| n | | Approximately 30 days later, those same call options are repurchased over a 5-day
period. |
| n | | The notional premium received, net of notional transaction costs, is paid out following
the repurchase of the options on or about the 25th of the month. |
Strategy Focus
| n | | In a covered call (or “overwrite”) strategy, an investor holds a long
position in an asset and sells call options on that same asset. |
| n | | Call options provide the seller with an up front premium payment, but require the
seller to deliver to the buyer any upside an asset experiences beyond a set level (the “strike price”). |
| n | | The Index notionally sells approximately 6% out-of-the-money notional calls each month
while maintaining a notional long position in SLV shares. |
| n | | The notional net premiums received (if any) for selling the calls are paid out at
the end of each monthly period. |
| n | | The strategy is designed to generate monthly cash flow in exchange for giving up any
gains beyond the strike price. The strategy provides no protection from losses resulting from a decline in the value the SLV shares
beyond the notional call premium. |
Silver FLOWSTM 106 index monthly call overwrite process**
**Actual number of days in any period will vary depending on the day
of the month on which options expire and in the event of any market disruption events.
For More Information
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ETN Desk: 212 538 7333 |
Email:ETN Desk@credit-suisse.com |
Website: www.credit-suisse.com/etn |
The above graph sets forth the historical performance of the SLV
shares on the primary exchange from April 28, 2006 to April 2, 2013, and the historical price of silver (using the London fixing
price) from January 1, 1971 to April 2, 2013. Historical performance is not indicative of future performance. The above graph
does not reflect any performance of the ETNs or include the investor fees associated with the ETNs, which will reduce the amount
of the return on the ETNs at maturity or upon acceleration or repurchase by Credit Suisse.
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Index Information |
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Inception Date |
March 28, 2013 |
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First Distribution Date |
Expected to be April 15, 2013 |
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Index Distribution Frequency |
Monthly |
Selected Investment Considerations
| – | | The ETNs are fully exposed to any decline in the Index. Furthermore, the return at
maturity or upon repurchase will be reduced by the fees and charges associated with the ETNs. Therefore, the level of the Index
must increase by an amount sufficient to offset the applicable fees and charges. |
| – | | The monthly coupon payments (if any) are variable and dependent on the premium generated
by the notional sale of options on the SLV shares, and you will not receive any fixed periodic interest payments on the ETNs. |
| – | | Although the return on the ETNs will be based on the performance of the Index, the
payment of any amount due on the ETNs, including any payment at maturity, is subject to the credit risk of Credit Suisse. Investors
are dependent on Credit Suisse’s ability to pay all amounts due on the ETNs, and therefore investors are subject to our credit
risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or
any increase in our credit spreads is likely to adversely affect the market value of the ETNs prior to maturity. |
| – | | Unfavorable price movements in the SLV shares or the options on the SLV shares may
cause negative performance of the Index and loss of your investment, and there is no assurance that the strategy on which the
Index is based will be successful. |
| – | | We intend to list the ETNs on Nasdaq under the symbol “SLVO”. We expect
that investors will purchase and sell the ETNs primarily in the secondary market. We have no obligation to maintain this listing
on Nasdaq or any listing on any other exchange, and may delist the ETNs at any time. |
| – | | The indicative value is not the same as the closing price or any other trading price
of the ETNs in the secondary market. The trading price of the ETNs at any time is the price at which you may be able to sell your
ETNs in the secondary market at such time, if one exists. The trading price of the ETNs at any time may vary significantly from
the indicative value of such ETNs at such time. Before trading in the secondary market, you should compare the indicative value
with the then-prevailing trading price of the ETNs. |
| – | | The return on the ETNs is linked to the performance of the Index, which measures the
return of a covered call strategy on the SLV shares. Your investment reflects a concentrated exposure to a single asset and, therefore,
could experience greater volatility than a more diversified investment. |
| – | | The ETNs should not be expected to track the price of silver because of the fees and
expenses applied to each of the SLV shares and the ETN as well as the design of the Index methodology which limits upside participation
in any appreciation of the SLV shares. Accordingly, the performance of the ETNs should not be expected to mirror the performance
of the price of silver. |
| – | | The Index replicates notional positions in SLV shares and options. As an owner of
the ETNs, you will not have rights that holders of the SLV shares or in any call options on the SLV shares may have, and you will
have no right to receive delivery of any components of the Index or any interest in silver. |
| – | | We have the right to accelerate your ETNs in whole or in part at any time. The amount
you may receive upon an acceleration by Credit Suisse may be less than the amount you would receive on your investment at maturity
or if you had elected to have us repurchase your ETNs at a time of your choosing. |
| – | | Tax consequences of the ETNs are uncertain and potential investors should consult
their tax advisors regarding the U.S. federal income tax consequences of an investment in the ETNs. |
| – | | An investment in the ETNs involves significant risks. The selected investment considerations
herein are not intended as a complete description of all risks associated with the ETNs. For further information regarding risks,
please see the section entitled “Risk Factors” in the applicable pricing supplement. |
Credit Suisse AG (“Credit Suisse”) has filed a registration
statement (including prospectus supplement and prospectus) with the Securities and Exchange Commission, or SEC, for the offering
of securities. Before you invest, you should read the applicable pricing supplement, the Prospectus Supplement dated March 23,
2012, and Prospectus dated March 23, 2012, to understand fully the terms of the ETNs and other considerations that are important
in making a decision about investing in the ETNs. You may get these documents without cost by visiting EDGAR on the SEC website
at www.sec.gov. Alternatively, Credit Suisse, or any agent or dealer participating in an offering will arrange to send you the
pricing 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 ETNs discussed
herein on the SEC website at: http://www.sec.gov/Archives/edgar/data/1053092/000089109213003046/e52989_424b2.htm
You may access
the 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.
Copyright ©2013. Credit Suisse Group and/or its affiliates.
All rights reserved.