Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 FINANCIAL PRODUCTS FACT SHEET (T350/A) |
Offering Period: May 27, 2014—June 29, 2014
5 Year Absolute Return Barrier Securities Linked to the S&P 500® Index and the Russell 2000® Index
Product Terms
• | 5 year Absolute Return Barrier Securities linked to the performance of the S&P 500® Index and the Russell 2000® Index. |
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If the Final Level of the Lowest Performing Underlying is greater than its Initial Level, you will be entitled to receive leveraged participation in the appreciation of the Lowest Performing Underlying. If the Final Level of the Lowest Performing Underlying is less than its Initial Level and a Knock-In Event does not occur, you will be entitled to receive the principal amount at maturity multiplied by the sum of one plus the absolute value of the Underlying Return of the Lowest Performing Underlying. |
• | If the Final Level of the Lowest Performing Underlying is less than its Initial Level and a Knock-In Event occurs, you will be fully exposed to any depreciation in the Lowest Performing Underlying. |
• | Any payment on the securities is subject to our ability to pay our obligations as they become due. |
Issuer: | Credit Suisse AG ("Credit Suisse"), acting through one of its branches |
Trade Date: | Expected to be June 30, 2014. |
Settlement Date: | Expected to be July 3, 2014. |
Underlyings: | The S&P 500® Index and the Russell 2000® Index |
Knock-In Level*: | For each Underlying, approximately 55% of its Initial Level. |
Knock-In Event: | Occurs if the Final Level of any 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. |
Upside Participation Rate*: |
Expected to be between 110% and 115%.
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Redemption Amount: |
If: (a) the Final Level of the Lowest Performing Underlying is greater than or equal to its Initial Level, Principal Amount x [ 1 +(Upside Participation Rate x Underlying Return of the Lowest Performing Underlying)]; (b) the Final Level of the Lowest Performing Underlying is less than its Initial Level and (i) a Knock-In Event has not occurred, Principal Amount x ( 1 + absolute value of the Underlying Return of the Lowest Performing Underlying ); (ii) a Knock-In Event has occurred, Principal Amount x (1 + Underlying Return of the Lowest Performing Underlying) |
Lowest Performing Underlying: | The Underlying with the lowest Underlying Return. |
Underlying Return: | For each Underlying: (Final Level – Initial Level)/Initial Level |
Valuation Date: Maturity Date: |
June 28, 2019 July 3, 2019 |
CUSIP: | 22547QNQ5 |
* To be determined on the Trade Date. |
Certain Product Characteristics
• | Offers uncapped leveraged participation in the appreciation, if any, of the Lowest Performing Underlying. |
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If the Final Level of the Lowest Performing Underlying is less than its Initial Level and a Knock-In Event has not occurred, at maturity, investors will be entitled to receive the principal amount of their securities multiplied by the sum of one plus the absolute value of the depreciation percentage of the Lowest Performing Underlying from its Initial Level to its Final Level.
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• | For each Underlying, the Knock-In Level is expected to be 55%*. |
Hypothetical Returns at Maturity
Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying |
Return
on the Securities (1)(2) |
Redemption Amount per $1,000 Principal Amount (2) |
50% | 56.25% | $1,562.50 |
40% | 45% | $1,450.00 |
30% | 33.75% | $1,337.50 |
20% | 22.5% | $1,225.00 |
10% | 11.25% | $1,112.50 |
0% | 0% | $1,000.00 |
-10% | 10% | $1,100.00 |
-20% | 20% | $1,200.00 |
-30% | 30% | $1,300.00 |
-40% | 40% | $1,400.00 |
-50% | -50% | $500.00 |
(1) | Assumes an Upside Participation Rate of 112.5%* (the midpoint of the expected range). |
(2) | The hypothetical Redemption Amounts set forth above are for illustrative purposes only and may not be the actual returns applicable to you. The numbers appearing in the table have been rounded for ease of analysis. |
Certain Product Risks
• | Your investment may result in a loss of up to 100% of the principal amount. If a Knock-In Event occurs, the Underlying Return of the Lowest Performing Underlying will be negative and you will be fully exposed to any depreciation in the Lowest Performing Underlying. |
• | 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 return on the securities is affected by the Final Level of the Lowest Performing Underlying and the occurrence of a Knock-In Event. |
• | If the Final Level of the Lowest Performing Underlying is less than the Initial Level and a Knock-In Event has not occurred, the Redemption Amount will be subject to an embedded cap. |
• | The Redemption Amount will be based on the Underlying Return of the Lowest Performing Underlying and, therefore, you will not benefit from the performance of any other Underlying. |
• | The securities are exposed to the risk fluctuations in the level of the Underlyings to the same degree for each Underlying. |
(See “Additional Risk Considerations” on the next page.) | |
FINANCIAL PRODUCTS FACT SHEET |
Offering Period: May 27, 2014—June 29, 2014
5 year Absolute Return Barrier Securities
Additional Risk Considerations
The risks set forth in the section entitled “Certain 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 “Certain 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.
Additional Information
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.
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 June 2, 2014, Underlying Supplement dated July 29, 2013, 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/1053092/000095010314003808/dp46817_424b2-t350a.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.