CALCULATION OF REGISTRATION FEE
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Title
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Maximum Aggregate
Offering Price
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Amount of Registration
Fee
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Notes
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$36,192,100.00
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$4,661.54
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Term Sheet SUN-20/2
(To the Prospectus dated March 23, 2012, the Prospectus Supplement dated March 23, 2012, and the Product Supplement EQUITY INDICES SUN-2 dated January 31, 2014)
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
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3,619,210 Units
$10 principal amount per unit
CUSIP No. 22545F383
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Pricing Date
Settlement Date
Maturity Date
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May 29, 2014
June 5, 2014
May 26, 2017
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Autocallable Market-Linked Step Up Notes Linked to the S&P 500® Index
§ Maturity of approximately three years if not called prior to maturity
§ Automatic call of the notes per unit at $10 plus the applicable Call Premium ($0.70 on the first Observation Date, and $1.40 on the second Observation Date) if the Index is flat or increases above 100% of the Starting Value on the relevant Observation Date
§ The Observation Dates will occur approximately one year and two years after the pricing date
§ If the notes are not called, at maturity:
§ a return of 25.25% if the Index is flat or increases up to the Step Up Value
§ a return equal to the percentage increase in the Index if the Index increases above the Step Up Value
§ 1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk
§ All payments are subject to the credit risk of Credit Suisse AG
§ No periodic interest payments
§ Limited secondary market liquidity, with no exchange listing
§ The notes are senior unsecured debt securities and are not insured or guaranteed by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction
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Per Unit
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Total
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Public offering price
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$10.00
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$36,192,100
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Underwriting discount
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$ 0.20
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$ 723,842
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Proceeds, before expenses, to Credit Suisse
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$ 9.80
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$35,468,258
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Terms of the Notes
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its London Branch.
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Call Settlement Dates:
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Approximately the fifth business day following the applicable Observation Date, subject to postponement if the related Observation Date is postponed, as described on page PS-20 of product supplement EQUITY INDICES SUN-2.
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Principal Amount:
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$10.00 per unit
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Call Premium:
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$0.70 per unit if called on June 1, 2015 (which represents a return of 7.00% over the principal amount) and $1.40 per unit if called on May 20, 2016 (which represents a return of 14.00% over the principal amount).
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Term:
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Approximately three years, if not called
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Ending Value:
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The closing level of the Market Measure on the scheduled calculation day. The calculation day is subject to postponement in the event of Market Disruption Events, as described beginning on page PS-20 of product supplement EQUITY INDICES SUN-2.
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Market Measure:
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The S&P 500® Index (Bloomberg symbol: “SPX”), a price return index.
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Step Up Value:
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2,404.84 (125.25% of the Starting Value, rounded to two decimal places).
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Starting Value:
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1,920.03
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Step Up Payment:
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$2.525 per unit, which represents a return of 25.25% over the principal amount.
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Observation Level:
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The closing level of the Market Measure on the applicable Observation Date.
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Threshold Value:
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1,920.03 (100% of the Starting Value).
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Observation Dates:
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June 1, 2015 and May 20, 2016, subject to postponement in the event of Market Disruption Events, as described on page PS-20 of product supplement EQUITY INDICES SUN-2.
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Calculation Day:
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May 19, 2017
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Call Level:
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100% of the Starting Value
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Fees and Charges:
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The underwriting discount of $0.20 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring the Notes” on page TS-12.
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Call Amounts (per Unit):
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$10.70 if called on June 1, 2015 and $11.40 if called on May 20, 2016
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Joint Calculation Agents:
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Credit Suisse International and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), acting jointly.
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Autocallable Market-Linked Step Up Notes | TS-2 |
Autocallable Market-Linked Step Up Notes | TS-3 |
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§
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Product supplement EQUITY INDICES SUN-2 dated January 31, 2014:
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§
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Prospectus supplement and prospectus dated March 23, 2012:
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You may wish to consider an investment in the notes if:
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The notes may not be an appropriate investment for you if:
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§ You are willing to receive a return on your investment capped at the applicable Call Premium if the relevant Observation Level is equal to or greater than the Call Level.
§ You anticipate that the Index will increase from the Starting Value to the Ending Value.
§ You are willing to risk a loss of principal and return if the Index decreases from the Starting Value to the Ending Value.
§ You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.
§ You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
§ You are willing to accept a limited market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and fees and charges on the notes.
§ You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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§ You want to hold your notes for the full term.
§ You believe that the Index will decrease from the Starting Value to the Ending Value.
§ You seek principal protection or preservation of capital.
§ You seek interest payments or other current income on your investment.
§ You want to receive dividends or other distributions paid on the stocks included in the Index.
§ You seek an investment for which there will be a liquid secondary market.
§ You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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Autocallable Market-Linked Step Up Notes | TS-4 |
Market-Linked Step Up Notes
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This graph reflects the returns on the notes, based on the Threshold Value of 100% of the Starting Value, the Step Up Payment of $2.525, and the Step Up Value of 125.25% of the Starting Value. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
See below table for a further illustration of the range of hypothetical payments at maturity.
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Ending Value
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Percentage Change from the Starting Value to the Ending Value
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Redemption Amount per Unit
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Total Rate of Return on the Notes
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0.00
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-100.00%
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$0.000
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-100.00%
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50.00
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-50.00%
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$5.000
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-50.00%
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80.00
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-20.00%
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$8.000
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-20.00%
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90.00
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-10.00%
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$9.000
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-10.00%
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94.00
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-6.00%
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$9.400
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-6.00%
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97.00
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-3.00%
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$9.700
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-3.00%
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100.00
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(1)(2) |
0.00%
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$12.525
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(3) |
25.25%
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102.00
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2.00%
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$12.525
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25.25%
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105.00
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5.00%
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$12.525
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25.25%
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110.00
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10.00%
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$12.525
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25.25%
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120.00
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20.00%
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$12.525
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25.25%
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125.25
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(4) |
25.25%
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$12.525
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25.25%
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130.00
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30.00%
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$13.000
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30.00%
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140.00
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40.00%
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$14.000
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40.00%
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150.00
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50.00%
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$15.000
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50.00%
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160.00
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60.00%
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$16.000
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60.00%
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(1)
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The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 1,920.03, which was the closing level of the Market Measure on the pricing date.
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(2)
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This is the hypothetical Threshold Value.
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(3)
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This amount represents the sum of the principal amount and the Step Up Payment of $2.525.
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(4)
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This is thehypothetical Step Up Value.
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Autocallable Market-Linked Step Up Notes | TS-5 |
Example 1
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The Ending Value is 90.00, or 90.00% of the Starting Value:
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Starting Value: | 100.00 | |
Threshold Value: |
100.00
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Ending Value: |
90.00
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![]() |
Redemption Amount per unit
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Example 2
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The Ending Value is 110.00, or 110.00% of the Starting Value:
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Starting Value: |
100.00
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Step Up Value: |
125.25
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Ending Value: |
110.00
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Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is equal to or greater than the Starting Value, but less than the Step Up Value.
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Example 3
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value: | 100.00 | |
Step Up Value:
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125.25 | |
Ending Value:
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130.00 | |
![]() |
Redemption Amount per unit
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Autocallable Market-Linked Step Up Notes | TS-6 |
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§
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Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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§
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Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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§
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.
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§
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If the notes are called, your investment return, if any, is limited to the return represented by the applicable Call Premium.
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§
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Your investment return, if any, may be less than a comparable investment directly in the stocks included in the Index.
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§
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The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our proprietary pricing models. These pricing models consider certain factors, such as our internal funding rate on the pricing date, interest rates, volatility and time to maturity of the notes, and they rely in part on certain assumptions about future events, which may prove to be incorrect. Because our pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by us (even among issuers with similar creditworthiness), our estimated value may not be comparable to estimated values of similar notes of other issuers.
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§
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Our internal funding rate for market-linked notes is typically lower than our secondary market credit rates, as further described in “Structuring the Notes” on page TS-12. Because we use our internal funding rate to determine the value of the theoretical bond component, if on the pricing date our internal funding rate is lower than our secondary market credit rates, the initial estimated value of the notes will be greater than if we had used our secondary market credit rates in valuing the notes.
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§
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The public offering price you pay for the notes exceeds the initial estimated value. This is due to, among other transaction costs, the inclusion in the public offering price of the underwriting discount and the hedging related charge, as further described in “Structuring the Notes” on page TS-12.
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§
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Assuming no change in market conditions or other relevant factors after the pricing date, the market value of your notes may be lower than the price you paid for them and lower than the initial estimated value. This is due to, among other things, the inclusion in the public offering price of the underwriting discount and the hedging related charge and the internal funding rate we used in pricing the notes, as further described in “Structuring the Notes” on page TS-12. These factors, together with customary bid ask spreads, other transaction costs and various credit, market and economic factors over the term of the notes, including changes in the level of the Index, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex and unpredictable ways.
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§
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A trading market is not expected to develop for the notes. Neither we nor MLPF&S is obligated to make a market for, or to repurchase, the notes. The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S or any of our affiliates would be willing to purchase your notes in any secondary market (if any exists) at any time. MLPF&S has advised us that any repurchases by them or their affiliates will be made at prices determined by reference to their pricing models and at their discretion, and these prices will include MLPF&S’s trading commissions and mark-ups. If you sell your notes to a dealer other than MLPF&S in a secondary market transaction, the dealer may impose its own discount or commission. MLPF&S has also advised us that, at its discretion and for your benefit, assuming no changes in market conditions from the pricing date, MLPF&S may offer to buy the notes in the secondary market at a price that may exceed the initial estimated value of the notes for a short initial period after the issuance of the notes. That higher price reflects costs that were included in the public offering price of the notes, and that higher price may also be initially used for account statements or otherwise. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.
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§
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Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in shares of companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with you.
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§
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The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
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§
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You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.
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§
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While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, except to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S) is included in the Index, we, MLPF&S and our respective affiliates do not control any company included in the Index, and are not responsible for any disclosure made by any other company.
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Autocallable Market-Linked Step Up Notes | TS-7 |
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§
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There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.
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§
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Material U.S. Federal Income Tax Considerations” below and “Material U.S. Federal Income Tax Consequences” beginning on page PS-29 of product supplement EQUITY INDICES SUN-2.
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Autocallable Market-Linked Step Up Notes | TS-8 |
Autocallable Market-Linked Step Up Notes | TS-9 |
Autocallable Market-Linked Step Up Notes | TS-10 |
Autocallable Market-Linked Step Up Notes | TS-11 |
Autocallable Market-Linked Step Up Notes | TS-12 |
Autocallable Market-Linked Step Up Notes | TS-13 |
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