|
CALCULATION OF REGISTRATION FEE
|
||||
|
Title
|
Maximum Aggregate
Offering Price
|
Amount of Registration
Fee
|
||
|
Notes
|
$19,954,850.00
|
$2,318.75
|
||
|
Pricing Supplement LIRN-17
(To the Prospectus dated March 23, 2012, the Prospectus Supplement dated March 23, 2012, and the Product Supplement EQUITY INDICES LIRN-2 dated October 7, 2013)
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
|
|
1,995,485 Units
$10 principal amount per unit
CUSIP No. 22548D815
 |
Pricing Date
Settlement Date
Maturity Date
|
February 26, 2015
March 5, 2015
April 29, 2016
|
|
Notes Linked to the NYSE Arca Gold Miners Index
|
|||
|
§ Maturity of approximately 14 months
§ 3-to-1 upside exposure to increases in the Index, subject to a capped return of 28.68%
§ 1-to-1 downside exposure to decreases in the Index beyond a 5.00% decline, with up to 95.00% of your principal at risk
§ All payments occur at maturity and 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
|
|||
The notes are being issued by Credit Suisse AG (“Credit Suisse”). There are important differences between the notes and a conventional debt security, including different investment risks and certain additional costs. See “Risk Factors” and “Additional Risk Factors” beginning on page TS-6 of this term sheet and “Risk Factors” beginning on page PS-6 of product supplement EQUITY INDICES LIRN-2.
The initial estimated value of the notes as of the pricing date is $9.77 per unit, which is less than the public offering price listed below. See “Summary” on the following page, “Risk Factors” beginning on page TS-6 of this term sheet and “Structuring the Notes” on page TS-13 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
_________________________
None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
|
Per Unit
|
Total | ||
|
Public offering price
|
$10.00
|
$ |
19,954,850
|
|
Underwriting discount
|
$ 0.20
|
$ |
399,097
|
|
Proceeds, before expenses, to Credit Suisse
|
$ 9.80
|
$ |
19,555,753
|
The notes:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
Merrill Lynch & Co.
February 26, 2015
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Summary
The Notes® Linked to the NYSE Arca Gold Miners Index, due April 29, 2016 (the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction and are not secured by collateral. The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit risk of Credit Suisse. The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the NYSE Arca Gold Miners Index (the “Index”), is greater than its Starting Value. If the Ending Value is less than the Starting Value but greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk. See “Terms of the Notes” below.
The economic terms of the notes (including the Capped Value) are based on the rate we are currently paying to borrow funds through the issuance of market-linked notes (our “internal funding rate”) and the economic terms of certain related hedging arrangements. Our internal funding rate for market-linked notes is typically lower than a rate reflecting the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit rate”). This difference in borrowing rate, as well as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. These costs will be effectively borne by you as an investor in the notes, and will be retained by us and MLPF&S or any of our respective affiliates in connection with our structuring and offering of the notes. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was determined based on our valuation of the theoretical components of the notes in accordance with our pricing models. These include a theoretical bond component valued using our internal funding rate, and theoretical individual option components valued using mid-market pricing. You will not have any interest in, or rights to, the theoretical components we used to determine the estimated value of the notes. For more information about the initial estimated value and the structuring of the notes, see “Structuring the Notes” on page TS-13.
|
Terms of the Notes
|
Redemption Amount Determination
|
||
|
Issuer:
|
Credit Suisse AG (“Credit Suisse”), acting through its London Branch.
|
On the maturity date, you will receive a cash payment per unit determined as follows:
 |
|
|
Principal Amount:
|
$10.00 per unit
|
||
|
Term:
|
Approximately 14 months
|
||
|
Market Measure:
|
The NYSE Arca Gold Miners Index (Bloomberg symbol: “GDM”), a price return index.
|
||
|
Starting Value:
|
582.50
|
||
|
Ending Value:
|
The average of the closing levels of the Market Measure on each scheduled calculation day occurring during the maturity valuation period. The calculation days are subject to postponement in the event of Market Disruption Events, as described on page PS-19 of product supplement EQUITY INDICES LIRN-2.
|
||
|
Threshold Value:
|
553.38 (95% of the Starting Value, rounded to two decimal places).
|
||
|
Participation Rate:
|
300%
|
||
|
Capped Value:
|
$12.868 per unit of the notes, which represents a return of 28.68% over the principal amount.
|
||
|
Maturity Valuation Period:
|
April 20, 2016, April 21, 2016, April 22, 2016, April 25, 2016 and April 26, 2016
|
||
|
Fees and Charges:
|
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-13.
|
||
|
Joint Calculation Agents:
|
Credit Suisse International and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), acting jointly.
|
||
|
TS-2
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
The terms and risks of the notes are contained in this term sheet and in the following:
|
§
|
Product supplement EQUITY INDICES LIRN-2 dated October 7, 2013:
|
|
§
|
Prospectus supplement and prospectus dated March 23, 2012:
|
These documents (together, the “Note Prospectus”) have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY INDICES LIRN-2. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to Credit Suisse.
Investor Considerations
|
You may wish to consider an investment in the notes if:
|
The notes may not be an appropriate investment for you if:
|
|
|
§ You anticipate that the Index will increase moderately 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 an Ending Value that is below the Threshold Value.
§ You accept that the return on the notes will be capped.
§ 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.
|
§ You believe that the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
§ You seek 100% principal repayment or preservation of capital.
§ You seek an uncapped return on your investment.
§ 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.
|
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
|
TS-3
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Hypothetical Payout Profile
 |
This graph reflects the returns on the notes, based on the Participation Rate of 300%, the Threshold Value of 95% of the Starting Value, and the Capped Value of $12.868. 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
|
Hypothetical Payments at Maturity
The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical returns on the notes. The actual amount you receive and the resulting total rate of return will depend on the actual Starting Value, Threshold Value, Ending Value and term of your investment.
The following table is based on a Starting Value of 100, a Threshold Value of 95, the Participation Rate of 300% and the Capped Value of $12.868 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.
|
Ending Value
|
Percentage Change from the Starting Value to the Ending Value
|
Redemption Amount per Unit
|
Total Rate of Return on the Notes
|
||||
|
0.00
|
-100.00%
|
$0.500
|
-95.00%
|
||||
|
50.00
|
-50.00%
|
$5.500
|
-45.00%
|
||||
|
80.00
|
-20.00%
|
$8.500
|
-15.00%
|
||||
|
85.00
|
-15.00%
|
$9.000
|
-10.00%
|
||||
|
90.00
|
-10.00%
|
$9.500
|
-5.00%
|
||||
|
94.00
|
-6.00%
|
$9.900
|
-1.00%
|
||||
|
95.00
|
(1)
|
-5.00%
|
$10.000
|
0.00%
|
|||
|
97.00
|
-3.00%
|
$10.000
|
0.00%
|
||||
|
98.00
|
-2.00%
|
$10.000
|
0.00%
|
||||
|
100.00
|
(2)
|
0.00%
|
$10.000
|
0.00%
|
|||
|
102.00
|
2.00%
|
$10.600
|
6.00%
|
||||
|
105.00
|
5.00%
|
$11.500
|
15.00%
|
||||
|
110.00
|
10.00%
|
$12.868
|
(3)
|
28.68%
|
|||
|
120.00
|
20.00%
|
$12.868
|
28.68%
|
||||
|
130.00
|
30.00%
|
$12.868
|
28.68%
|
||||
|
140.00
|
40.00%
|
$12.868
|
28.68%
|
||||
|
150.00
|
50.00%
|
$12.868
|
28.68%
|
||||
|
160.00
|
60.00%
|
$12.868
|
28.68%
|
||||
|
(1)
|
This is the hypothetical Threshold Value.
|
|
(2)
|
The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 582.50, which was the closing level of the Market Measure on the pricing date.
|
|
(3)
|
The Redemption Amount per unit cannot exceed the Capped Value.
|
For recent actual levels of the Market Measure, see “The Index” section below. The Index is a price return index and as such the Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.
|
TS-4
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Redemption Amount Calculation Examples
|
Example 1
|
|
|
The Ending Value is 85.00, or 85.00% of the Starting Value:
|
|
|
Starting Value:
|
100.00
|
|
Threshold Value:
|
95.00
|
|
Ending Value:
|
85.00
|
 |
Redemption Amount per unit
|
|
Example 2
|
|
|
The Ending Value is 98.00, or 98.00% of the Starting Value:
|
|
|
Starting Value:
|
100.00
|
|
Threshold Value:
|
95.00
|
|
Ending Value:
|
98.00
|
|
Redemption Amount (per unit) = $10.00, the principal amount, since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value.
|
|
|
Example 3
|
|
|
The Ending Value is 105.00, or 105.00% of the Starting Value:
|
|
|
Starting Value:
|
100.00
|
|
Ending Value:
|
105.00
|
 |
= $11.50 Redemption Amount per unit
|
|
Example 4
|
|
|
The Ending Value is 130.00, or 130.00% of the Starting Value:
|
|
|
Starting Value:
|
100.00
|
|
Ending Value:
|
130.00
|
 |
= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $12.868 per unit
|
|
TS-5
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-6 of product supplement EQUITY INDICES LIRN-2 identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
|
|
§
|
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.
|
|
|
§
|
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.
|
|
|
§
|
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.
|
|
|
§
|
Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
|
|
|
§
|
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.
|
|
|
§
|
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-13. 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.
|
|
|
§
|
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-13.
|
|
|
§
|
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-13. 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.
|
|
|
§
|
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.
|
|
|
§
|
Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international securities markets.
|
|
|
§
|
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.
|
|
|
§
|
The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
|
|
|
§
|
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.
|
|
TS-6
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
|
|
§
|
While we, MLPF&S or our respective affiliates may from time to time own securities of companies 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.
|
|
|
§
|
There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.
|
|
|
§
|
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-26 of product supplement EQUITY INDICES LIRN-2.
|
|
TS-7
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Additional Risk Factors
All of the securities included in the Index are concentrated in one industry.
All of the securities included in the Index are issued by companies in the gold and silver mining industry. As a result, the securities that will determine the performance of the notes are concentrated in one industry. Although an investment in the notes will not give holders any ownership or other direct interests in the securities included in the Index, the return on an investment in the notes will be subject to certain risks similar to those associated with direct equity investments in the gold and silver mining industry. Accordingly, by investing in the notes, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple sectors.
A limited number of Index components may affect its level and the Index is not necessarily representative of the gold and silver mining industry.
As of January 30, 2015 the top three Index components constituted 25.65% of the total weight of the Index and the top six Index components constituted 41.36% of the total weight of the Index. Any reduction in the market price of those securities is likely to have a substantial adverse impact on the level of the Index and the value of the notes.
While the securities included in the Index are common stocks, American Depositary Receipts (“ADRs”), or global depositary receipts (“GDRs”) of companies generally considered to be involved in various segments of the gold and silver mining industry, the securities included in the Index may not follow the price movements of the entire gold and silver mining industry generally. If the securities included in the Index decline in value, the Index will decline in value even if security prices in the gold and silver mining industry generally increase in value.
There is no direct correlation between the value of the notes or the level of the Index, on the one hand, and gold and silver prices, on the other hand.
Although the price of gold or silver is one factor that may influence the performance of the securities underlying the Index, the notes are not linked to the gold or silver spot prices or to gold or silver futures. There is no direct linkage between the level of the Index and the prices of gold and silver. While gold and silver prices may be one factor that could affect the prices of the securities included in the Index and, consequently, the level of the Index, the notes and the Redemption Amount are not directly linked to the movement of gold and silver prices and may be affected by factors unrelated to those movements. Investing in the notes is not the same as investing in gold or silver, and you should not invest in the notes if you wish to invest in a product that is linked directly to the price of gold or silver.
NYSE Arca, Inc. (“NYSE Arca”) the sponsor and compiler of the Index, retains significant control and discretionary decision-making over the Index and is responsible for decisions regarding the interpretation of and amendments to the Index rules, which may have an adverse effect on the level of the Index, the market value of the notes and the Redemption Amount on the maturity date.
NYSE Arca is the compiler of the Index and, as such, is responsible for the day-to-day management of the Index and for decisions regarding the interpretation of the rules governing the Index. NYSE Arca has the discretion to make operational adjustments to the Index and to the Index components, including discretion to exclude companies that otherwise meet the minimum criteria for inclusion in the Index. In addition, NYSE Arca retains the power to supplement, amend in whole or in part, revise or withdraw the Index rules at any time, any of which may lead to changes in the way the Index is compiled or calculated or adversely affect the Index in another way. Any of these adjustments to the Index or the Index rules may adversely affect the level of the Index, the market value of the notes and the Redemption Amount on the maturity date. The Index sponsor has no obligation to take the needs of any buyer, seller or holder of the notes into consideration at any time.
The performance of the securities underlying the Index may be influenced by gold and silver prices.
To the extent the price of gold or silver has a limited effect, if any, on the prices of the securities included in the Index, gold prices and silver prices are subject to volatile price movements over short periods of time, represent trading in commodities markets, which are substantially different from equities markets, and are affected by numerous factors. These include economic factors, including the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the prices of gold and silver are generally quoted), interest rates and gold and silver borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial, or other events.
Gold prices and silver prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and purchases of gold and silver by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold and silver, levels of gold and silver production and production costs, and short-term changes in supply and demand because of trading activities in the gold and silver markets. It is not possible to predict the aggregate effects of all or any combination of these factors.
|
TS-8
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
The Index
The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its make up, method of calculation, and changes in its components, have been derived from publicly available sources, including
http://www.nyse.com/about/listed/lcddata.html?ticker=GDM
http://indices.nyx.com/sites/indices.nyx.com/files/gdm_rule_book_v1.1.pdf
and http://www.amex.com/amextrader/dailylist/data/relFiles/GDM%20Index%20Methodology%20Version%202.1.pdf.
We are not incorporating by reference these websites or any material included on those websites in this term sheet. The information reflects the policies of, and is subject to change by, NYSE Arca, the sponsor of the Index. NYSE Arca, which owns the copyright and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of NYSE Arca discontinuing publication of the Index are discussed in the section entitled “Description of LIRNs—Discontinuance of an Index” beginning on page PS-20 of product supplement EQUITY INDICES LIRN-2. None of us, the calculation agent, or MLPF&S accepts any responsibility for the calculation, maintenance, or publication of the Index or any successor index.
The Index is a modified market capitalization weighted index comprised of securities issued by publicly traded companies involved primarily in the mining of gold or silver. The Index was initially launched and published in October 2004.
Eligibility Criteria for Index Components
The Index includes common stocks, American depositary receipts (“ADRs”) or global depositary receipts (“GDRs”) of selected companies that are involved in mining for gold and silver and that are listed for trading and electronically quoted on a major stock market that is accessible by foreign investors. Generally, this includes exchanges in most developed markets and major emerging markets, and includes companies that are cross-listed, i.e., both U.S. and Canadian listings. NYSE Arca will use its discretion to avoid exchanges and markets that are considered “frontier” in nature or have major restrictions to foreign ownership. The Index includes companies that derive at least 50% of their revenues from gold mining and related activities (40% for companies that are already included in the Index). Also, the Index will maintain an exposure to companies with a significant revenue exposure to silver mining in addition to gold mining, which will not exceed 20% of the Index weight at each rebalance.
Currently, only companies with a market capitalization of greater than $750 million that have an average daily trading volume of at least 50,000 shares and an average daily value traded of at least $1 million over the past three months are eligible for inclusion in the Index. Starting in December 2013, for companies already included in the Index, the market capitalization requirement at each rebalance will be $450 million, the average daily volume requirement will be at least 30,000 shares over the past three months and the average daily value traded requirement will be at least $600,000 over the past three months. Only one listing is permitted per company, and the listing representing the company’s ordinary shares is generally used.
NYSE Arca has the discretion to exclude a company even if the minimum criteria for inclusion has been met, or to include a company that fails to meet these criteria, if it feels that by doing so it maintains the quality and/or character of the Index.
Calculation of the Index
The Index is calculated by NYSE Arca on a price return basis. The calculation is based on the current modified market capitalization divided by a divisor. The divisor was determined on the initial capitalization base of the Index and the base level and may be adjusted as a result of corporate actions and composition changes, as described below. The level of the Index was set at 500.00 on December 20, 2002 which is the index base date. The Index is calculated using the following formula:
Where:
t = day of calculation;
N = number of constituent equities in the Index;
Qi,t = number of shares of equity i on day t;
Mi,t = multiplier of equity i;
Ci,t = price of equity i on day t; and
DIV = current index divisor on day t.
Index Maintenance
The Index is reviewed quarterly to ensure that at least 90% of the Index weight is accounted for by Index components that continue to meet the initial eligibility requirements. NYSE Arca may at any time and from time to time change the number of securities comprising
|
TS-9
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
the group by adding or deleting one or more securities, or replacing one or more securities contained in the group with one or more substitute securities of its choice, if in NYSE Arca’s discretion such addition, deletion or substitution is necessary or appropriate to maintain the quality and/or character of the Index. Components will be removed from the Index during the quarterly review if either (1) the market capitalization falls below $450 million or (2) the traded average daily shares for the previous three months is less than 30,000 shares and the average daily traded value for the previous three months is less than $600,000.
At the time of the quarterly rebalance, the component security weights (also referred to as the multiplier or share quantities of each component security) will be modified to conform to the following asset diversification requirements:
|
|
(1)
|
the weight of any single component security may not account for more than 20% of the total value of the Index;
|
|
|
(2)
|
the component securities are split into two subgroups–large and small, which are ranked by market capitalization weight in the Index. Large securities are defined as having a starting Index weight greater than or equal to 5%. Small securities are defined as having a starting Index weight below 5%; and
|
|
|
(3)
|
the final aggregate weight of those component securities which individually represent more than 4.5% of the total value of the Index may not account for more than 45% of the total Index value.
|
The weights of the components securities (taking into account expected component changes and share adjustments) are modified in accordance with the Index’s diversification rules.
Diversification Rule 1: If any component stock exceeds 20% of the total value of the Index, then all stocks greater than 20% of the Index are reduced to represent 20% of the value of the Index. The aggregate amount by which all component stocks are reduced is redistributed proportionately across the remaining stocks that represent less than 20% of the Index value. After this redistribution, if any other stock then exceeds 20%, the stock is set to 20% of the Index value and the redistribution is repeated.
Diversification Rule 2: The components are sorted into two groups, large are components with a starting index weight of 5% or greater and small are components with a weight of under 5% (after any adjustments for Diversification Rule 1). The large group will represent in the aggregate 45% and the small group will represent 55% in the aggregate of the final index weight. This will be adjusted through the following process: The weight of each of the large stocks will be scaled down proportionately (with a floor of 5%) so that the aggregate weight of the large components will be reduced to represent 45% of the Index. If any large component stock falls below a weight equal to the product of 5% and the proportion by which the stocks were scaled down following this distribution, then the weight of the stock is set equal to 5% and the components with weights greater than 5% will be reduced proportionately. The weight of each of the small components will be scaled up proportionately from the redistribution of the large components. If any small component stock exceeds a weight equal to the product of 4.5% and the proportion by which the stocks were scaled down following this distribution, then the weight of the stock is set equal to 4.5%. The redistribution of weight to the remaining stocks is repeated until the entire amount has been redistributed.
Changes to the Index composition and/or the component security weights in the Index are determined and announced prior to taking effect. These changes typically become effective after the close of trading on the third Friday of each calendar quarter month in connection with the quarterly Index rebalance. The share quantities of each component security in the Index portfolio remains fixed between quarterly reviews except in the event of certain types of corporate actions such as stock splits, reverse stock splits, stock dividends, or similar events. The share quantities used in the Index calculation are not typically adjusted for shares issued or repurchased between quarterly reviews. However, in the event of a merger between two components, the share quantities of the surviving entity may be adjusted to account for any stock issued in the acquisition. NYSE Arca may substitute securities or change the number of securities included in the Index, based on changing conditions in the industry or in the event of certain types of corporate actions, including mergers, acquisitions, spin-offs, and reorganizations.
Corporate Action Related Adjustments
The Index may be adjusted in order to ensure that it continues to reflect as closely as possible the value of the underlying portfolio.
|
|
(1)
|
Removal of constituents. Generally, any stock deleted from the Index as a result of a corporate action such as a merger, acquisition, spin-off, delisting or bankruptcy is not replaced by any new stock. If a company is removed from the Index, the divisor will be adapted to maintain the Index level.
|
|
|
(a)
|
Mergers and Acquisitions. In the event that a merger or acquisition occurs between members of the Index, the acquired company is deleted and its market capitalization moves to the acquiring company’s stock. In the event that only one of the parties to a merger or acquisition is a member of the Index, an acquiring member of the Index continues as a member of the Index and its shares will be adjusted at the next rebalance while an acquired member of the Index is removed from the Index and the acquiring company may be considered for inclusion at the next rebalance.
|
|
|
(b)
|
Suspensions and company distress. Immediately upon a company filing for bankruptcy, an announcement will be made to remove the stock from the Index effective for the sixth day following the bankruptcy. If the stock does not trade on the relevant exchange between the bankruptcy announcement and the next rebalance effective date, the stock may be deleted from the Index in that rebalance with a presumed market value of $0.
|
|
TS-10
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
|
|
(c)
|
Split-up / spin-off. The closing price of the Index constituent is adjusted by the value of the spin-off. Spun-off companies will not be automatically added to the Index at the time of the event.
|
|
|
(2)
|
Dividends. The Index will be adjusted for special dividends. Special dividends include: (a) the declaration of a dividend additional to those dividends declared as part of a company’s normal results and dividend reporting cycle; or (b) the identification of an element of a dividend paid in line with a company’s normal results and dividend reporting cycle as an element that is unambiguously additional to the company’s normal payment.
|
|
|
(3)
|
Rights issues and other rights. In the event of a rights issue, the price is adjusted for the value of the right on the ex-date, and the shares are increased according to the terms of the offering. The amount of the price adjustment is determined from the terms of the rights issue, including the subscription price, and the price of the underlying security. NYSE Arca will only effect adjustments if the rights represent a positive value, or are in-the-money, or alternatively, represent or can be converted into a tangible cash value.
|
|
|
(4)
|
Bonus issues, stock splits and reverse stock splits. The number of shares included in the Index will be adjusted in accordance with the ratio given in the corporate action. The divisor will not change.
|
|
|
(5)
|
Changes in number of shares. Changes in the number of shares outstanding, typically due to share repurchases, tenders, or offerings, will not be reflected in the Index until the next review unless the change is related to a specific corporate action.
|
Index Weight of Each Index Component
As of January 30, 2015 the Index included 37 companies. The following table presents the Index weight for each of the Index components based on publicly available information as of that date.
|
Company
|
Percentage of Index Weighting (%)
|
|
Goldcorp Inc.
|
10.68
|
|
Barrick Gold Corporation
|
8.13
|
|
Newmont Mining Corporation
|
6.85
|
|
Randgold Resources Limited
|
5.52
|
|
Agnico Eagle Mines Limited
|
5.22
|
|
Newcrest Mining Limited
|
4.96
|
|
Franco-Nevada Corporation
|
4.90
|
|
Silver Wheaton Corp.
|
4.65
|
|
AngloGold Ashanti Limited
|
4.59
|
|
Gold Fields Limited
|
4.18
|
|
Royal Gold, Inc.
|
4.03
|
|
Kinross Gold Corporation
|
3.55
|
|
Yamana Gold Inc.
|
3.31
|
|
Cia de Minas Buenaventura SAA
|
2.88
|
|
Eldorado Gold Corporation
|
2.80
|
|
Sibanye Gold Limited
|
2.29
|
|
New Gold Inc.
|
2.01
|
|
B2Gold Corp.
|
1.64
|
|
Zijin Mining Group Company Limited
|
1.62
|
|
Pan American Silver Corp.
|
1.61
|
|
Detour Gold Corp.
|
1.47
|
|
Centerra Gold Inc.
|
1.29
|
|
Harmony Gold Mining Co. Limited
|
1.24
|
|
Hecla Mining Company
|
1.10
|
|
Centamin PLC
|
1.06
|
|
IAMGOLD Corporation
|
0.92
|
|
AuRico Gold Inc.
|
0.90
|
|
TS-11
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
|
SEMAFO Inc.
|
0.89
|
|
Rio Alto Mining Limited
|
0.87
|
|
G-Resources Group Limited
|
0.69
|
|
First Majestic Silver Corp.
|
0.67
|
|
Alacer Gold Corp.
|
0.63
|
|
Alamos Gold Inc.
|
0.62
|
|
Coeur Mining Inc.
|
0.60
|
|
Primero Mining Corp.
|
0.59
|
|
OceanaGold Corporation
|
0.57
|
|
Zhaojin Mining Industry Company Limited
|
0.48
|
* Rounded to two decimal places.
The following graph shows the monthly historical performance of the Index in the period from January 2008 through January 2015. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was 582.50.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels and trading pattern of the Index.
License Agreement
We and NYSE Arca have entered into a non-exclusive license agreement providing for the license to us, in exchange for a fee, of the right to use the Index in connection with this offering. The license agreement between NYSE Arca and us provides that the following language must be stated in this term sheet:
“‘NYSE Arca Gold Miners Index’ is a service mark of NYSE Euronext or its affiliates (“NYSE Euronext”) and is being used with the permission of NYSE Euronext. NYSE Euronext in no way sponsors, endorses, or is otherwise involved in the transactions specified and described in this document (“Transaction”). NYSE Euronext makes no representations or warranties regarding the issuer or the ability of the NYSE Arca Gold Miners Index to track general stock market performance.
NYSE EURONEXT MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE NYSE ARCA GOLD MINERS INDEX OR ANY DATA INCLUDED THEREIN. IN NO EVENT SHALL NYSE EURONEXT HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.”
|
TS-12
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Supplement to the Plan of Distribution
Under our distribution agreement with MLPF&S, MLPF&S will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.
We will deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.
MLPF&S has advised us as follows: They or their affiliates may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated 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. MLPF&S may act as principal or agent in these market-making transactions; however, it is not obligated to engage in any such transactions. MLPF&S has informed us that at MLPF&S’s 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. Any price offered by MLPF&S for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index and the remaining term of the notes. However, none of us, MLPF&S, or any of our respective affiliates is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.
MLPF&S has informed us that, as of the date of this term sheet, it expects that if you hold your notes in a MLPF&S account, the value of the notes shown on your account statement will be based on MLPF&S’s estimate of the value of the notes if MLPF&S or another of its affiliates were to make a market in the notes, which it is not obligated to do; and that estimate will be based upon the price that MLPF&S may pay for the notes in light of then-prevailing market conditions and other considerations, as mentioned above, and will include transaction costs. Any such price may be higher than or lower than the initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding Credit Suisse or for any purpose other than that described in the immediately preceding sentence.
The notes are our debt securities, the return on which is linked to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational, funding and liability management costs to us, the internal funding rate we use in pricing market-linked notes is typically lower than a rate reflecting the yield on our conventional debt securities of similar maturity in the secondary market. 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 higher than if the initial estimated value was based our secondary market credit rates.
Payments on the notes, including the amount you receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index . In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with MLPF&S or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, including MLPF&S and its affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Index, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial estimated value depend in part on the terms of these hedging arrangements.
MLPF&S has advised us that the hedging arrangements will include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to MLPF&S from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by MLPF&S or any third party hedge providers.
For further information, see “Risk Factors—General Risks Relating to LIRNs” beginning on page PS-6 and “Supplemental Use of Proceeds and Hedging” on page PS-16 of product supplement EQUITY INDICES LIRN-2.
|
TS-13
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
Credit Suisse AG
Credit Suisse AG, London Branch (“CSLB”), was registered in England and Wales on April 22, 1993. It is, among other things, a vehicle for various funding activities of Credit Suisse AG. CSLB exists as part of Credit Suisse AG and is not a separate legal entity, although it has independent status for certain tax and regulatory purposes. CSLB is authorized and regulated by the Financial Market Supervisory Authority in Switzerland, is authorized by the Prudential Regulation Authority in the U.K., and is subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority in the U.K. CSLB’s address is One Cabot Square, London EC14 4QJ, and its telephone number is +44 20 7888 8888. For additional information, see “Credit Suisse” in the prospectus.
Credit Suisse may at any time substitute another of its branches for the branch through which it acts under the notes for all purposes under the notes. The notes will remain obligations of Credit Suisse, notwithstanding any such substitution.
Material U.S. Federal Income Tax Considerations
The following discussion is a brief summary of material U.S. federal income tax consequences relating to an investment in the notes. The following summary is not complete and is qualified and supplemented by, or in some cases supplements, the discussion under the section entitled “Material U.S. Federal Income Tax Consequences” beginning on page PS-26 of product supplement EQUITY INDICES LIRN-2, which you should carefully review prior to investing in the notes.
There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization for U.S. federal income tax purposes of the notes or securities with terms that are substantially the same as those of the notes. Thus, the characterization of the notes is not certain. In the absence of an administrative or judicial ruling to the contrary and pursuant to the terms of the notes, you agree with us to treat the notes, for U.S. federal income tax purposes, as prepaid financial contracts, with respect to the Market Measure, that are eligible for open transaction treatment. The balance of this discussion assumes that the notes will be treated as prepaid financial contracts. You should be aware that such characterization of the notes is not certain, nor is it binding on the U.S. Internal Revenue Service (the “IRS”) or the courts. Thus, it is possible that the IRS would seek to characterize your notes in a manner that results in tax consequences to you that are different from those described below or in the accompanying product supplement. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the notes for U.S. federal income tax or other tax purposes. You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of the notes for U.S. federal income tax purposes.
If the notes are treated as prepaid financial contracts, a U.S. Holder (as defined in the accompanying product supplement) should generally recognize gain or loss upon the sale, exchange or maturity of its notes in an amount equal to the difference between the amount realized at such time and the U.S. Holder’s tax basis in its notes (generally the amount paid for the notes). Such gain or loss generally should be long-term capital gain or loss if the notes have been held for more than one year. For notes with a term of one year or less, such gain or loss will be short-term capital gain or loss.
Notes Held Through Foreign Entities
Pursuant to recently finalized regulations and IRS Notice 2013-43, and subject to certain exceptions, FATCA’s withholding regime generally will apply to (i) withholdable payments (other than certain gross proceeds) made after June 30, 2014 (other than certain payments made with respect to a “preexisting obligation,” as defined in the regulations); (ii) payments of certain gross proceeds with respect to a sale or disposition occurring after December 31, 2016; and (iii) foreign passthru payments made after the later of December 31, 2016, or the date that final regulations defining the term “foreign passthru payment” are published.
Substitute Dividend and Dividend Equivalent Payments
A “dividend equivalent” payment is treated as a dividend from sources within the United States and, unless reduced by an applicable tax treaty with the United States, such payments generally will be subject to U.S. withholding tax. Proposed regulations provide that a dividend equivalent is (i) any payment of a substitute dividend made pursuant to a securities lending or sale-repurchase transaction that references the payment of a dividend from an underlying security, (ii) any payment made pursuant to a specified notional principal contract that references the payment of a dividend from an underlying security, (iii) any payment made pursuant to a specified equity-linked instrument, or (iv) any other substantially similar payment. An underlying security is any interest in an entity taxable as a domestic corporation if a payment with respect to that interest could give rise to a U.S. source dividend. If adopted in their current form, the proposed regulations will impose a withholding tax on payments made on the notes on or after January 1, 2016 that are treated as dividend equivalents. However, the IRS has announced that they intend to limit this withholding to equity-linked instruments issued on or after the date that is 90 days after the date of publication in the Federal Register of final regulations addressing dividend equivalent withholding. If withholding applies, we will not be required to pay any additional amounts with respect to amounts withheld.
Proposed Legislation on Certain Financial Transactions
On February 26, 2014, the Chairman of the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If enacted as proposed, the effect of that legislation generally would be to require instruments such as the notes acquired after December 31, 2014, or any notes held after December 31, 2019, to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions. You are urged to consult your tax advisor regarding the draft legislation and its possible impact on you.
|
TS-14
|
Notes Linked to the NYSE Arca Gold Miners Index,
due April 29, 2016
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the notes in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S toll-free at 1-800-294-1322.
|
TS-15
|