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Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 October 22, 2013 |
FI Enhanced Big Cap Growth ETN
The Credit Suisse FI Enhanced Big Cap Growth 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 on a leveraged basis to the return of the Russell 1000® Growth Index Total Return (the “Index”). The Index measures the performance of the large cap growth segment of the U.S. equity universe. The ETNs are listed on the NYSE Arca under the ticker symbol “FIBG”.1 The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the ETNs.
| ETN Details | ||
| ETN ticker | FIBG | |
| Intraday Indicative Value ticker | FIBG.IV | |
| Bloomberg Index ticker | RU10GRTR | |
| CUSIP/ISIN | 22539T563 / US22539T5636 | |
| Primary exchange | NYSE Arca | |
| Investor fee rate | 0.05% per annum2 | |
| Financing rate | 3M USD LIBOR + 0.52% | |
| Leverage factor | 2.03 | |
| ETN inception date | October 17, 2013 | |
| Underlying Index | Russell 1000® Growth Index | |
| Total Return | ||
| Index Returns (as of 9/30/13) | ||
| 1 month | 4.46% | |
| 3 month | 8.11% | |
| 1 year | 19.27% | |
| 10 year* | 7.82% | |
| *Index inception date was January 31, 1987 | ||
Index Weighting by Sector
(As of October 2, 2013)
Index Overview
| n | The Index is composed of those Russell 1000® Index companies that are determined to have higher growth potential, higher price-to-book ratios and higher forecasted growth values as defined by Russell Investments’ style methodology. |
| n | Russell Investments uses a “non-linear probability” method to assign stocks to the growth and value style indices. Roughly 70% of the available market capitalization is classified as either growth or value style. The remaining 30% of stocks have some portion of their market value in either the value or the growth style, depending on their relative distance from the median value score. |
Strategy Focus
| n | The ETNs seek to approximate the return that might be available through a leveraged “long” investment strategy in the components of the Index. |
| n | If the Closing Indicative Value of the ETNs falls to or below 60% of the Rebalanced Indicative Value4, the exposure in the ETN will be rebalanced with the aim of resetting the then-current leverage to approximately 2.0. |
| n | If the Closing Indicative Value of the ETNs falls to or below 40% of the Rebalanced Indicative Value4, the ETNs will be automatically accelerated and redeemed. |
Index Performance (September 30, 2003–September 30, 2013)
The above graph sets forth the historical performance of the Index and the S&P 500 Index TR from September 30, 2003 through September 30, 2013. Historical performance is not indicative of future performance. The above graph does not include any ETN Fees, which will reduce the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.
1Credit Suisse has no obligation to maintain any listing on NYSE Arca or any other exchange and we may delist the ETNs at any time.
2Because of daily compounding, the actual investor fee realized may exceed 0.05% per annum.
3On the Inception Date, the effective leverage was approximately 1.62. The effective leverage varies with changes in the Closing Indicative Value and Index level.
4Initially $25. If a Rebalance Event occurs, the Rebalanced Indicative Value will be the Closing Indicative Value on the Rebalance Trigger Date corresponding to the most recently completed Rebalance Event.
Leverage Mechanics
| n | On the ETN Inception Date, the Closing Indicative Value of the ETNs was $40.78. |
| n | On the same date the “Index Units” were set equal to 0.090981. Using the closing level of the Index on the ETN inception date, this represents an approximate notional investment of $66.10 in the Index on the ETN inception date. The Index Units will remain unchanged unless the Closing Indicative Value falls to $15 or below. |
| n | Each day, the Index Units are multiplied by the change in the level of the Index to generate that day’s gross return called the “Index Amount”. |
| n | The daily ETN Fees are then subtracted from the performance. |
| n | That day’s Closing Indicative Value is calculated by taking the previous day’s Closing Indicative Value, plus the Index Amount, less the ETN fees. |
Selected Investment Considerations
| – | The ETNs do not guarantee any return of principal and are fully exposed on a leveraged basis to any decline in the level of the Index. As a result, you may lose all or a significant portion of your investment in the ETNs. Furthermore, the return at maturity or upon repurchase will be reduced by the ETN Fees. Therefore, the level of the Index must increase by an amount sufficient to offset the applicable fees. The cumulative effect of the ETN Fees may be greater than the charges and fees you would incur in connection with an alternative investment. |
| – | The ETNs are designed to reflect a leveraged exposure to the performance of the Index, however the exposure to the Index will fluctuate during the term of the ETNs. The ETNs are subject to a Leverage Factor of 2.0 but the effective leverage will vary as the indicative value of the ETNs changes. The ETNs are very sensitive to changes in the performance of the Index, and returns on the ETNs may be impacted in complex ways by the volatility of the Index. On the Inception Date, the effective leverage was approximately 1.62. The effective leverage varies with changes in the Closing Indicative Value and Index level. Accordingly, the ETNs should be purchased only by sophisticated knowledgeable investors, as discussed further below. |
| – | You will not receive any periodic interest payments on the ETNs. |
| – | A trading market for the ETNs may not develop. We have listed ETNs on NYSE Arca under the symbol “FIBG”. We expect that investors will purchase and sell the ETNs primarily in this secondary market. We have no obligation to maintain this listing on NYSE Arca or any listing on any other exchange, and may delist the ETNs at any time. |
| – | The ETNs may be deleveraged. If the Closing Indicative Value of the ETN on any trading day is equal to or less than $15 (or 60% of the most recent Rebalanced Indicative Value, if applicable), a Rebalance Event will have occurred and the ETNs will be effectively deleveraged. A Rebalance Fee will also be incurred. In this case, you may not recover your initial investment even if the level of the Index increases back to the Initial Index level (or most recently rebalanced level). |
| – | Whether an Acceleration Event occurs and the value of your ETNs upon an Acceleration Event are based on intraday levels, and the payment you will be entitled in such event to receive is subject to a fee. |
| – | The ETNs may be automatically accelerated and redeemed. If the Intraday Indicative Value on any trading day is less than or equal to $10 (or 40% of the Rebalanced Indicative Value, if applicable) an Acceleration Event will have occurred and the ETNs will be subject to automatic acceleration. An Acceleration Fee will also be incurred. If an Acceleration Event occurs, the Acceleration Redemption Amount will be less than the principal amount of your securities. |
| – | The Financing Rate is based upon a floating rate that may increase significantly during the term of the ETNs. In this case, the Financing Rate would accrue at a higher rate, resulting in a greater deduction in the amount payable on the ETNs. |
| – | The Closing Indicative Value of the ETNs 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 Closing 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. |
| – | 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 upon repurchase or 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. |
| – | We have the right to accelerate the ETNs in whole or in part on any business day during the term of the ETNs. The amount you may receive upon an acceleration at Credit Suisse’s option 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 and is not appropriate for every investor. Investing in the ETNs is not equivalent to investing directly in the Index. The ETNs are very sensitive to changes in the performance of the Index, and returns on the ETNs may be impacted in complex ways by volatility of the Index. The ETNs should be purchased only by sophisticated knowledgeable investors who understand the terms of the investment in the ETNs and potential adverse consequences of seeking long-term leveraged investment results by means of securities that may reset their notional exposure. Investors should consider the timing of their investment relative to the Inception Date and any Rebalance Date and their investment horizon as well as the ETN Fees and potential transaction costs when evaluating an investment in the ETNs and should regularly monitor their holdings of the ETNs to ensure that they remain consistent with their investment strategies.
Sources: Bloomberg. All data was obtained from publicly available information, internally developed data and other third-party sources believed to be reliable. Credit Suisse AG has not sought to independently verify information obtained from public and third-party sources. The Index is unmanaged, assumes reinvestment of dividends or interest and does not reflect the deduction of fees and expenses from the ETNs.
Any capitalized terms used herein but not otherwise defined shall have the meanings given to them 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 the ETNs. 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 applicable pricing supplement, prospectus supplement and prospectus if you so request by calling toll-free 1 (800) 221-1037.
You may access the applicable pricing supplement related to the ETNs discussed herein on the SEC website at: http://www.sec.gov/Archives/edgar/data/1053092/000089109213008708/e55889_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 AG and/or its affiliates. All rights reserved.
| For More Information | ||
| ETN Desk: 212 538 7333 | Email: ETN.Desk@credit-suisse.com | Website: www.credit-suisse.com/etn |