424B2 1 dp112322_424b2-arn90.htm FORM 424B2

Pricing Supplement ARN-90

(To the Prospectus dated June 30, 2017, the Prospectus Supplement dated June 30, 2017, and the Product Supplement STOCK ARN-1 dated July 25, 2017)

   Filed Pursuant to Rule 424(b)(2)
Registration Statement No.  333-218604-02

 



2,464,720 Units
$10 principal amount per unit
CUSIP No. 22550J205    

Pricing Date
Settlement Date
Maturity Date

August 29, 2019
September 6, 2019
October 30, 2020
 

       

Accelerated Return Notes® Linked to a Basket of Three Defense Sector Stocks

§    Maturity of approximately 14 months

§    3-to-1 upside exposure to increases in the Basket, subject to a capped return of 18.75%

§    The Basket is comprised of Lockheed Martin Corporation, Raytheon Company, and The Boeing Company (the "Basket Stocks")

§    1-to-1 downside exposure to decreases in the Basket, with 100% 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

§    In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See “Structuring the Notes”

§    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 STOCK ARN-1.

The initial estimated value of the notes as of the pricing date is $9.79 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-15 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 $ 24,647,200
Underwriting discount………………………..... $ 0.20 $ 492,944
Proceeds, before expenses, to Credit Suisse… $ 9.80 $ 24,154,256

 

The notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

 

BofA Merrill Lynch
August 29, 2019

 

 

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Summary

 

The Accelerated Return Notes® Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020 (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 basket of three financial sector stocks described below (the “Basket”), is greater than its Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion 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 Basket, subject to our credit risk. See “Terms of the Notes” below.

 

The Basket is comprised of Lockheed Martin Corporation, Raytheon Company, and The Boeing Company (the “Basket Stocks”). Each Basket Stock was given an approximately equal weight on the pricing date.

 

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 BofAS 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-15.

 

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: An approximately equally weighted basket of three defense sector stocks comprised of Lockheed Martin Corporation (NYSE symbol: "LMT"), Raytheon Company (NYSE symbol: "RTN") and The Boeing Company (NYSE symbol: "BA") (each, a “Basket Stock”).
Starting Value: 100.00
Ending Value: The value of the Basket on the calculation day. The calculation day is subject to postponement in the event of Market Disruption Events, as described in "The Basket" section below.
Participation Rate: 300%
Capped Value: $11.875 per unit, which represents a return of 18.75% over the principal amount.
Calculation Day: October 23, 2020
Price Multiplier: 1, for each Basket Stock, subject to adjustment for certain corporate events relating to the Basket Stocks described beginning on page PS-20 of product supplement STOCK ARN-1.
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-15.
Joint Calculation Agents: Credit Suisse International and BofA Securities, Inc. (“BofAS”), acting jointly.

  

 

Accelerated Return Notes® TS-2

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

The terms and risks of the notes are contained in this term sheet and in the following:

 

§Product supplement STOCK ARN-1 dated July 25, 2017:
https://www.sec.gov/Archives/edgar/data/1053092/000095010317007025/dp78647_424b2-esarn.htm

 

§Prospectus supplement and prospectus dated June 30, 2017:
http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm

 

As a result of the completion of the reorganization of Bank of America’s U.S. broker-dealer business, references to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) in the accompanying product supplement STOCK ARN-1, as such references relate to MLPF&S’s institutional services, should now be read as references to BofAS.

 

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 or BofAS 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 STOCK ARN-1. 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 value of the Basket will increase moderately from the Starting Value to the Ending Value.

 

§    You are willing to risk a loss of principal and return if the value of the Basket decreases from the Starting Value to the Ending 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 Basket Stocks.

 

§    You are willing to accept a limited or no 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 value of the Basket 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 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 Basket Stocks.

 

§    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.

 

Accelerated Return Notes® TS-3

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Hypothetical Payout Profile

 

Accelerated Return Notes®

 

 

This graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $11.875 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the Basket Stocks, 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 Ending Value and term of your investment.

 

The following table is based on the Starting Value of 100, the Participation Rate of 300% and the Capped Value of $11.875 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% $0.00 -100.00%
50.00 -50.00% $5.00 -50.00%
80.00 -20.00% $8.00 -20.00%
90.00 -10.00% $9.00 -10.00%
94.00 -6.00% $9.40 -6.00%
97.00 -3.00% $9.70 -3.00%
   100.00(1) 0.00% $10.00 0.00%
103.00 3.00% $10.90 9.00%
105.00 5.00% $11.50 15.00%
106.25 6.25%    $11.875(2) 18.75%
110.00 10.00% $11.875 18.75%
120.00 20.00% $11.875 18.75%
130.00 30.00% $11.875 18.75%
140.00 40.00% $11.875 18.75%
150.00 50.00% $11.875 18.75%
160.00 60.00% $11.875 18.75%
(1)The Starting Value was set to 100.00 on the pricing date.

(2)The Redemption Amount per unit cannot exceed the Capped Value.

 

For hypothetical historical values of the Basket, see “The Basket” section below. For recent actual prices of the Basket Stocks, see “The Basket Stocks” section below. The Ending Value will not include any income generated by dividends paid on the Basket Stocks, 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.

 

Accelerated Return Notes® TS-4

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Redemption Amount Calculation Examples

 

Example 1
The Ending Value is 80.00, or 80.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 80.00

= $8.00 Redemption Amount per unit

 

 

Example 2
The Ending Value is 103.00, or 103.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 103.00

= $10.90 Redemption Amount per unit

 

 

Example 3
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 $11.875 per unit

  

 

Accelerated Return Notes® TS-6

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

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 STOCK ARN-1 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 Basket as measured on the calculation day, 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 Basket Stocks.

 

§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-15. Because we used our internal funding rate to determine the value of the theoretical bond component, if on the pricing date our internal funding rate was lower than our secondary market credit rates, the initial estimated value of the notes is 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-15.

 

§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-15. 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 value of the Basket, 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 nor BofAS are 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 BofAS, or any of our affiliates would be willing to purchase your notes in any secondary market (if any exists) at any time. BofAS 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 and BofAS’s trading commissions and mark-ups. If you sell your notes to a dealer other than MLPF&S or BofAS in a secondary market transaction, the dealer may impose its own discount or commission. BofAS has also advised us that, at MLPF&S’s and BofAS’s discretion and for your benefit, assuming no changes in market conditions from the pricing date, MLPF&S or BofAS 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.

 

§Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trading in shares of the Basket Stocks), and any hedging and trading activities we, MLPF&S, BofAS 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 Underlying Companies will have no obligations relating to the notes, and neither we nor MLPF&S or BofAS will perform any due diligence procedures with respect to any Underlying Company in connection with this offering.

 

§Changes in the prices of the Basket Stocks may offset each other.

 

§You will have no rights of a holder of the Basket Stocks, and you will not be entitled to receive shares of the Basket Stocks or dividends or other distributions by any Underlying Company.

 

§While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of the Underlying Companies, we, MLPF&S, BofAS and our respective affiliates do not control any Underlying Company, and have not verified any disclosure made by any Underlying Company.

 

Accelerated Return Notes® TS-7

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

§The Redemption Amount will not be adjusted for all corporate events that could affect a Basket Stock. See “Description of ARNs—Anti-Dilution Adjustments” beginning on page PS-20 of product supplement STOCK ARN-1.

 

§There may be potential conflicts of interest involving the calculation agents, one of which is our affiliate and one of which is BofAS. We have the right to appoint and remove the calculation agents.

 

§As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, FINMA has broad powers and discretion in the case of resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel such liabilities in whole or in part.

 

§The U.S. Federal Tax consequences of an investment in the notes are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the notes, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS or a court might not agree with the treatment of the notes as prepaid financial contracts that are treated as “open transactions.” If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes, including the timing and character of income recognized by U.S. investors and the withholding tax consequences to non-U.S. investors, might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the notes, possibly retroactively.

 

Additional Risk Factors


The stocks included in the Basket are concentrated in one sector. All of the stocks included in the Basket are issued by companies in the defense sector. Although an investment in the notes will not give holders any ownership or other direct interests in the Basket Stocks, the return on an investment in the notes will be subject to certain risks associated with a direct equity investment in companies in the defense sector, including those discussed below. 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.

 

Adverse conditions in the defense sector may reduce your return on the notes. All of the Basket Stocks are issued by companies whose primary lines of business are directly associated with the defense sector. The profitability of these companies is largely dependent on, among other things, U.S. government contracts, military demand, government regulation, material costs and availability, continued innovation and the success of various research endeavors, funding, talent attraction and retention, and industry competition. In addition, adverse economic, business, market, environmental, labor, tax or political developments affecting the U.S., the areas of the world in which these companies operate and/or the defense sector could adversely affect the prices of the Basket Stocks, and increase the volatility of the Market Measure.

 

Accelerated Return Notes® TS-8

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

The Basket

 

The Basket is designed to allow investors to participate in the percentage changes of the Basket from the Starting Value to the Ending Value. The Basket Stocks are described in the section “The Basket Stocks” below. Each Basket Stock was assigned an initial weight on the pricing date, as set forth in the table below.

 

For more information on the calculation of the value of the Basket, please see the section entitled “Description of ARNs—Basket Market Measures” beginning on page PS-26 of product supplement STOCK ARN-1.

 

On the pricing date, for each Basket Stock, the Initial Component Weight, the Closing Market Price, the Component Ratio and the initial contribution to the Basket value were as follows:

 

Basket Stock   Bloomberg Symbol   Initial Component Weight   Closing Market Price(1)     Component Ratio(2)   Initial Basket Value Contribution
Lockheed Martin Corporation   LMT   33.33%   384.43   0.08669979   33.33
Raytheon Company   RTN   33.33%   182.73   0.18240026   33.33
The Boeing Company   BA   33.34%   362.74   0.09191156   33.34
                Starting Value   100.00

 

(1)These were the Closing Market Prices of the Basket Stocks on the pricing date.

(2)Each Component Ratio equals the Initial Component Weight of the relevant Basket Stock (as a percentage) multiplied by 100, and then divided by the Closing Market Price of that Basket Stock on the pricing date and rounded to eight decimal places.

 

The calculation agents will calculate the Ending Value of the Basket by summing the products of the Closing Market Price for each Basket Stock (multiplied by its Price Multiplier) on the calculation day and the Component Ratio applicable to that Basket Stock. The Price Multiplier for each Basket Stock will initially be 1, and is subject to adjustment as described in the product supplement. If a Market Disruption Event occurs as to any Basket Stock on the scheduled calculation day, the Closing Market Price of that Basket Stock will be determined as more fully described in the section entitled “Description of ARNs—Basket Market Measures—Ending Value of the Basket” beginning on page PS-27 of product supplement STOCK ARN-1.

 

Accelerated Return Notes® TS-9

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

While actual historical information on the Basket did not exist before the pricing date, the following graph sets forth the hypothetical historical performance of the Basket from January 1, 2009 through the pricing date. The graph is based upon actual daily historical prices of the Basket Stocks, hypothetical Component Ratios based on the closing prices of the Basket Stocks as of December 31, 2007, and a Basket value of 100.00 as of that date. This hypothetical historical data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the notes may be. Any hypothetical historical upward or downward trend in the value of the Basket during any period set forth below is not an indication that the value of the Basket is more or less likely to increase or decrease at any time over the term of the notes.

 

Hypothetical Historical Performance of the Basket

 

 

  

 

Accelerated Return Notes® TS-10

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

The Basket Stocks

 

We have derived the following information from publicly available documents. We have not independently verified the accuracy or completeness of the following information.

 

Because each Basket Stock is registered under the Securities Exchange Act of 1934, the Underlying Companies are required to file periodically certain financial and other information specified by the SEC. Information provided to or filed with the SEC by the Underlying Companies can be located at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549 or through the SEC’s website at http://www.sec.gov by reference to the applicable CIK number set forth below.

 

This term sheet relates only to the notes and does not relate to the Basket Stocks or to any other securities of the Underlying Companies. None of us, MLPF&S, BofAS or any of our respective affiliates has participated or will participate in the preparation of any Underlying Company’s publicly available documents. None of us, MLPF&S, or any of our respective affiliates has made any due diligence inquiry with respect to any Underlying Company in connection with the offering of the notes. None of us, MLPF&S, BofAS or any of our respective affiliates makes any representation that the publicly available documents or any other publicly available information regarding any Underlying Company are accurate or complete. Furthermore, there can be no assurance that all events occurring prior to the date of this term sheet, including events that would affect the accuracy or completeness of these publicly available documents that would affect the trading price of a Basket Stock, have been or will be publicly disclosed. Subsequent disclosure of any events or the disclosure of or failure to disclose material future events concerning an Underlying Company could affect the price of its Basket Stock and therefore could affect your return on the notes. The selection of the Basket Stocks is not a recommendation to buy or sell the Basket Stocks.

 

The tables set forth below show the quarterly high and low Closing Market Prices of the shares of the Basket Stocks on their primary exchange from the first quarter of 2008 through the pricing date. 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. These historical trading prices may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.

 

Accelerated Return Notes® TS-11

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Lockheed Martin Corporation

 

Lockheed Martin Corporation is a global security company that primarily researches, designs, develops, manufactures, and integrates advanced technology products and services. This Basket Stock trades on the New York Stock Exchange (the “NYSE”) under the symbol “LMT.” The company’s CIK number is 936468.

 

  High ($) Low ($)
2008    
First Quarter 109.78 99.30
Second Quarter 109.94 98.66
Third Quarter 119.59 100.26
Fourth Quarter 108.85 67.97
2009    
First Quarter 85.55 58.18
Second Quarter 86.17 67.31
Third Quarter 82.49 73.13
Fourth Quarter 78.93 68.32
2010    
First Quarter 86.90 74.41
Second Quarter 86.92 74.50
Third Quarter 76.15 68.48
Fourth Quarter 73.29 68.04
2011    
First Quarter 82.27 69.87
Second Quarter 81.79 75.73
Third Quarter 81.97 66.87
Fourth Quarter 81.52 71.16
2012    
First Quarter 90.85 79.98
Second Quarter 91.70 80.82
Third Quarter 93.80 86.02
Fourth Quarter 94.87 87.58
2013    
First Quarter 96.52 86.70
Second Quarter 108.85 94.53
Third Quarter 130.84 106.40
Fourth Quarter 148.84 122.03
2014    
First Quarter 166.84 146.07
Second Quarter 168.08 153.82
Third Quarter 182.78 157.21
Fourth Quarter 196.84 172.61
2015    
First Quarter 206.62 188.37
Second Quarter 201.44 185.52
Third Quarter 213.02 187.30
Fourth Quarter 226.43 204.75
2016    
First Quarter 222.96 206.08
Second Quarter 248.17 223.11
Third Quarter 266.50 237.41
Fourth Quarter 267.62 230.52
2017    
First Quarter 272.03 250.90
Second Quarter 283.65 266.98
Third Quarter 310.29 278.92
Fourth Quarter 322.82 306.60
2018    
First Quarter 361.00 318.54
Second Quarter 358.60 294.78
Third Quarter 346.05 299.12
Fourth Quarter 349.93 245.22
2019    
First Quarter 309.47 258.08
Second Quarter 363.54 297.27
Third Quarter (through the pricing date) 385.88 356.21

   

 

Accelerated Return Notes® TS-12

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Raytheon Company

 

Raytheon Company is a technology company specializing in defense, homeland security and other government markets throughout the world. The Company provides electronics, mission systems integration and other capabilities in the areas of sensing, effects, and command, control, communications and intelligence systems, as well as mission support services. This Basket Stock trades on the NYSE under the symbol “RTN.” The company’s CIK number is 1047122.

 

  High ($) Low ($)
2008    
First Quarter 67.11 59.82
Second Quarter 66.63 56.00
Third Quarter 61.71 53.51
Fourth Quarter 54.00 43.40
2009    
First Quarter 52.67 33.57
Second Quarter 48.27 38.47
Third Quarter 48.33 42.08
Fourth Quarter 53.44 45.18
2010    
First Quarter 57.67 50.73
Second Quarter 60.01 48.39
Third Quarter 49.64 43.21
Fourth Quarter 48.33 44.45
2011    
First Quarter 52.51 46.09
Second Quarter 51.49 47.93
Third Quarter 50.11 38.83
Fourth Quarter 49.07 39.50
2012    
First Quarter 52.96 47.99
Second Quarter 56.59 49.30
Third Quarter 58.40 54.28
Fourth Quarter 59.28 54.00
2013    
First Quarter 59.01 52.67
Second Quarter 68.07 56.22
Third Quarter 80.69 64.82
Fourth Quarter 91.04 73.97
2014    
First Quarter 101.31 88.13
Second Quarter 101.47 92.25
Third Quarter 103.35 89.43
Fourth Quarter 110.47 93.85
2015    
First Quarter 112.40 100.05
Second Quarter 110.01 95.68
Third Quarter 110.33 95.57
Fourth Quarter 127.95 107.77
2016    
First Quarter 128.24 117.62
Second Quarter 136.66 123.23
Third Quarter 142.65 134.82
Fourth Quarter 150.54 132.97
2017    
First Quarter 156.97 142.90
Second Quarter 164.26 149.95
Third Quarter 186.58 162.57
Fourth Quarter 191.38 179.58
2018    
First Quarter 219.86 186.28
Second Quarter 228.13 192.54
Third Quarter 207.90 192.43
Fourth Quarter 208.21 146.67
2019    
First Quarter 187.29 149.79
Second Quarter 187.58 173.88

  

 

Accelerated Return Notes® TS-13

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Third Quarter (through the pricing date) 192.63 171.03

  

 

Accelerated Return Notes® TS-14

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

The Boeing Company

 

The Boeing Company, together with its subsidiaries, develops, produces, and markets commercial jet aircraft, as well as provides related support services to the commercial airline industry worldwide. The company also researches, develops, produces, modifies, and supports information, space, and defense systems, including military aircraft, helicopters and space and missile systems. This Basket Stock trades on the NYSE under the symbol “BA.” The company’s CIK number is 12927.

 

  High ($) Low ($)
2008    
First Quarter 86.98 72.45
Second Quarter 87.07 65.72
Third Quarter 69.26 55.47
Fourth Quarter 56.62 37.11
2009    
First Quarter 46.31 29.36
Second Quarter 52.83 35.44
Third Quarter 54.62 39.04
Fourth Quarter 56.05 47.22
2010    
First Quarter 74.11 56.18
Second Quarter 75.59 60.11
Third Quarter 69.69 60.76
Fourth Quarter 71.66 62.50
2011    
First Quarter 73.93 66.40
Second Quarter 79.95 71.25
Third Quarter 75.99 57.41
Fourth Quarter 74.29 58.25
2012    
First Quarter 76.34 72.56
Second Quarter 77.27 67.24
Third Quarter 75.51 69.38
Fourth Quarter 76.20 69.53
2013    
First Quarter 86.62 73.65
Second Quarter 104.08 84.09
Third Quarter 119.38 101.47
Fourth Quarter 138.36 114.47
2014    
First Quarter 144.37 121.40
Second Quarter 138.25 122.07
Third Quarter 129.74 118.34
Fourth Quarter 134.81 120.19
2015    
First Quarter 158.31 127.53
Second Quarter 154.38 138.72
Third Quarter 148.49 125.49
Fourth Quarter 149.40 130.61
2016    
First Quarter 141.07 108.44
Second Quarter 137.08 122.70
Third Quarter 135.96 126.70
Fourth Quarter 157.81 132.25
2017    
First Quarter 183.91 156.97
Second Quarter 202.23 175.62
Third Quarter 256.45 198.59
Fourth Quarter 297.90 255.46
2018    
First Quarter 364.64 296.67
Second Quarter 371.56 322.44
Third Quarter 372.23 331.76
Fourth Quarter 392.30 294.16
2019    
First Quarter 440.62 310.90
Second Quarter 395.86 337.37

  

 

Accelerated Return Notes® TS-15

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Third Quarter (through the pricing date) 377.36 340.42

  

 

Accelerated Return Notes® TS-16

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Supplement to the Plan of Distribution

 

Under our distribution agreement with BofAS, BofAS 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.

 

MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on the cover of this term sheet.

 

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 and/or one of its affiliates acting as a principal in effecting the transaction for your account.

 

MLPF&S and BofAS have 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 and BofAS’s trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is not obligated to engage in any such transactions. BofAS has informed us that at their discretion and for your benefit, assuming no changes in market conditions from the pricing date, MLPF&S and BofAS 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 or BofAS 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, BofAS, 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, BofAS, or any of our respective affiliates will purchase your notes at a price that equals or exceeds the initial estimated value of the notes.

 

BofAS has informed us that, as of the date of this term sheet, it expects that if you hold your notes in a BofAS account, the value of the notes shown on your account statement will be based on BofAS’s estimate of the value of the notes if BofAS 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 BofAS 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.

 

Accelerated Return Notes® TS-17

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Structuring the Notes

 

The notes are our debt securities, the return on which is linked to the performance of the Basket. 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 used our internal funding rate to determine the value of the theoretical bond component, if on the pricing date our internal funding rate was lower than our secondary market credit rates, the initial estimated value of the notes is 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 Basket. 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 BofAS or one of its affiliates. The terms of these hedging arrangements are determined by seeking bids from market participants, including BofAS and its affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility of the Basket Stocks, 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.

 

BofAS 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 BofAS 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 BofAS or any third party hedge providers.

 

For further information, see “Risk Factors—General Risks Relating to ARNs” beginning on page PS-6 and “Supplemental Use of Proceeds and Hedging” on page PS-16 of product supplement STOCK ARN-1.

 

Accelerated Return Notes® TS-18

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Material U.S. Federal Income Tax Considerations

 

This discussion supplements and, to the extent inconsistent therewith, supersedes the discussion in the accompanying product supplement under “Material U.S. Federal Income Tax Considerations.”

 

There are no statutory, judicial or administrative authorities that address the U.S. federal income tax treatment of the notes or instruments that are similar to the notes. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a note should be treated as a prepaid financial contract that is an “open transaction” for U.S. federal income tax purposes. However, there is uncertainty regarding this treatment.

 

Assuming this treatment of the notes is respected and subject to the discussion in “Material U.S. Federal Income Tax Considerations” in the accompanying product supplement, the following U.S. federal income tax consequences should result:

 

·You should not recognize taxable income over the term of the notes prior to maturity, other than pursuant to a sale or other disposition.

 

·Upon a sale or other disposition (including retirement) of a note, you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the note. Such gain or loss should be long-term capital gain or loss if you held the note for more than one year.

 

We do not plan to request a ruling from the IRS regarding the treatment of the notes, and the IRS or a court might not agree with the treatment described herein. In particular, the IRS could treat the notes as contingent payment debt instruments, in which case the tax consequences of ownership and disposition of the notes, including the timing and character of income recognized, could be materially and adversely affected. Moreover, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax advisor regarding possible alternative tax treatments of the notes and potential changes in applicable law.

 

Non-U.S. Holders. Subject to the discussions in the next paragraph and in “Material U.S. Federal Income Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, you generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the notes, provided that (i) income in respect of the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.

 

As discussed under “Material U.S. Federal Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax on “dividend equivalents” paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Treasury regulations under Section 871(m), as modified by an IRS notice, exclude from their scope financial instruments issued prior to January 1, 2021 that do not have a “delta” of one with respect to any U.S. equity. Based on the terms of the notes and representations provided by us, our counsel is of the opinion that the notes should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m).

 

A determination that the notes are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to a U.S. equity to which the notes relate. You should consult your tax advisor regarding the potential application of Section 871(m) to the notes.

 

If withholding tax applies to the notes, we will not be required to pay any additional amounts with respect to amounts withheld.

 

FATCA.  You should review the section entitled "Material United States Federal Income Tax Considerations—Notes Held Through Foreign Entities" in the accompanying product supplement regarding withholding rules under the “FATCA” regime. The discussion in that section is hereby modified to reflect regulations proposed by the U.S. Treasury Department indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds of the disposition of affected financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their finalization.

 

You should read the section entitled “Material U.S. Federal Income Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the notes.

 

You should also consult your tax advisor regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the notes and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

 

Accelerated Return Notes® TS-19

Accelerated Return Notes®
Linked to a Basket of Three Defense Sector Stocks, due October 30, 2020

Validity of the Notes

 

In the opinion of Davis Polk & Wardwell LLP, as United States counsel to Credit Suisse, when the notes offered by this term sheet have been executed and issued by Credit Suisse and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such notes will be valid and binding obligations of Credit Suisse, enforceable against Credit Suisse in accordance with their terms, subject to (i) applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, (ii) possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors’ rights and (iii) concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this term sheet and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the notes. Insofar as this opinion involves matters governed by Swiss law, Davis Polk & Wardwell LLP has relied, without independent inquiry or investigation, on the opinion of Homburger AG, dated August 23, 2019 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on August 23, 2019. The opinion of Davis Polk & Wardwell LLP is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in the opinion of Homburger AG. In addition, the opinion of Davis Polk & Wardwell LLP is subject to customary assumptions about the establishment of the terms of the notes, the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes, and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated August 23, 2019, which was filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on August 23, 2019. Davis Polk & Wardwell LLP expresses no opinion as to waivers of objections to venue, the subject matter or personal jurisdiction of a United States federal court or the effectiveness of service of process other than in accordance with applicable law. In addition, such counsel notes that the enforceability in the United States of Section 10.08(c) of the indenture is subject to the limitations set forth in the United States Foreign Sovereign Immunities Act of 1976.

 

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 or BofAS toll-free at 1-800-294-1322.

 

“Accelerated Return Notes®” and “ARNs®” are registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.

 

Accelerated Return Notes® TS-20