Filed pursuant to Rule 433
Registration Statement No. 333-218604-02
FINANCIAL PRODUCTS
FACT SHEET (U4216)
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Offering Period: October 1, 2019 –
October 30, 2019
Contingent Coupon Autocallable Yield Notes
due August 5, 2020
Linked to the Performance of the Lowest
Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index
| · | If
these securities have not been previously automatically redeemed and if a Coupon Barrier
Event has not occurred on an Observation Date, we will pay a contingent coupon in an
amount expected to be at least $22.50 (equivalent to approximately 9.00% per annum or
6.75% for the term of the securities) per $1,000 principal amount of securities** on
the immediately following Contingent Coupon Payment Date; if a Coupon Barrier Event has
occurred on an Observation Date, no contingent coupon will be paid with respect to that
Observation Date. Contingent coupons should not be viewed as ordinary periodic interest
payments. |
| · | If
a Trigger Event occurs, the securities will be automatically redeemed and you will receive
a cash payment equal to the principal amount of the securities you hold plus the contingent
coupon payable on the immediately following Contingent Coupon Payment Date. |
| · | If
these securities have not been previously automatically redeemed and if a Knock-In Event
has occurred and the Final Level of the Lowest Performing Underlying is greater than
or equal to its Initial Level, you will receive the principal amount of the securities
you hold at maturity. If a Knock-In Event has not occurred, you will receive the principal
amount of the securities you hold at maturity. |
| · | If
these securities have not been previously automatically redeemed and if a Knock-In Event
has occurred and the Final Level of the Lowest Performing Underlying is less than its
Initial Level, you will be fully exposed to any depreciation in the Lowest Performing
Underlying. You could lose your entire investment. |
| · | Any
payment on the securities is subject to our ability to pay our obligations as they become
due. |
Issuer*: |
Credit
Suisse AG ("Credit Suisse"), acting through its London branch |
Trade Date: |
Expected to be October
31, 2019 |
Settlement Date: |
Expected to be November
5, 2019 |
Underlyings: |
The S&P 500®
Index, the Russell 2000® Index and the Nasdaq-100 Index |
Contingent Coupons**: |
If these securities
have not been previously automatically redeemed and if a Coupon Barrier Event has not occurred on an Observation Date, we
will pay a contingent coupon in an amount expected to be at least $22.50 (equivalent to approximately 9.00% per annum or 6.75%
for the term of the securities) per $1,000 principal amount of securities on the immediately following Contingent Coupon Payment
Date; if a Coupon Barrier Event has occurred on an Observation Date, no contingent coupon will be paid with respect to that
Observation Date. |
Contingent Coupon
Payment Dates***: |
Approximately quarterly,
beginning on February 5, 2020, to and including the Maturity Date. |
Coupon Barrier Event: |
Occurs if, on any
Observation Date, the closing level of any Underlying on such Observation Date is less than its Coupon Barrier Level. |
Coupon Barrier Level**: |
For each Underlying,
approximately 70% of the Initial Level of such Underlying. |
Observation Dates***: |
Approximately quarterly,
beginning on January 31, 2020, to and including the Valuation Date. |
Trigger Event: |
Occurs if, on any
Trigger Observation Date, the closing level of each Underlying on such Trigger Observation Date is equal to or greater than
its respective Trigger Level. |
Trigger Observation
Dates***: |
Approximately quarterly,
beginning on January 31, 2020, to but excluding the Valuation Date. |
Trigger Level**: |
For each Underlying,
approximately 100% of the Initial Level of such Underlying. |
Automatic Redemption: |
If a Trigger Event
occurs, the securities will be automatically redeemed and you will receive a cash payment equal to 100% of the principal amount
of securities you hold, and any applicable contingent coupon on the corresponding Contingent Coupon Payment Date. |
Knock-In Level**: |
For each Underlying,
approximately 70% of the Initial Level of such Underlying. |
Knock-In Event: |
Occurs if, on any
trading day during the Observation Period, the closing level of any Underlying is less than its Knock-In Level. |
Initial Level: |
For each Underlying,
the closing level of such Underlying on the Trade Date. |
Final Level: |
For each Underlying,
the closing level of such Underlying on the Valuation Date. |
Redemption Amount: |
If these securities
have not been previously automatically redeemed, for each $1,000 principal amount of securities, if (a) a Knock-In Event has
occurred, $1,000 x (1 + the Security Performance Factor); (b) a Knock-In Event has not occurred, $1,000. |
Security
Performance
Factor: |
The Security Performance
Factor is expressed as a percentage and is equal to the lesser of (i) zero and (ii) the Underlying Return of the Lowest Performing
Underlying. |
Lowest Performing
Underlying: |
The Underlying with
the lowest Underlying Return. |
Underlying
Return: |
For each Underlying,
an amount calculated as follows: |
(Final
Level – Initial Level) / Initial Level |
Observation Period: |
The period from but
excluding the Trade Date to and including the Valuation Date. |
Valuation Date: |
July 31, 2020 |
Maturity Date: |
August 5, 2020 |
CUSIP: |
22552FZR6 |
Fees: |
Certain fiduciary
accounts may pay a purchase price of at least $996 per $1,000 principal amount of securities. Credit Suisse Securities (USA)
LLC and any agent (the “Agents”) may receive varying discounts and commissions of up to $7 per $1,000 principal
amount of securities. The Agents may re-allow some or all of the discount on the principal amount per security on sales of
such securities by other brokers or dealers. CSSU or another broker or dealer will forgo some or all discounts and commissions
with respect to the sales of securities into certain fiduciary accounts. |
Credit Suisse
currently estimates the value of each $1,000 principal amount of the securities on the Trade Date will be between $970
and $1,000 (as determined by reference to its pricing models and the rate it is currently paying to borrow funds through
issuance of the securities (its “internal funding rate”)). A single estimated value reflecting final terms
will be determined on the Trade Date.
* As used in this document,
references to "we" or "our" are to Credit Suisse AG, as Issuer.
** To be determined on
the Trade Date.
*** Please see the accompanying
preliminary pricing supplement for specific dates.
|
Certain
Product Characteristics |
| · | Automatic
Redemption if a Trigger Event occurs. |
| · | Contingent
coupon expected to be at least $22.50 (equivalent to approximately 9.00% per annum or 6.75% for the term of the securities).** |
| · | Coupon
Barrier Level of approximately 70% of the respective Initial Level for each Underlying. |
| · | Subject
to a Knock-In Event, return of principal. |
| · | If
a Knock-In Event has occurred, full downside participation in the depreciation of the Lowest Performing Underlying. |
| · | Knock-In
Level of approximately 70%** of the respective Initial Level for each Underlying. |
Hypothetical
Returns at Maturity |
Underlyingeturn
of the Lowest Performing Underlying |
Security
Performance Factor |
Redemption
Amount per $1,000 Principal Amount (Knock-In Event Has Not Occurred)
(1)(2)(3) |
Redemption
Amount per $1,000 Principal Amount (Knock-In Event Has Occurred)
(1)(2)(3) |
50% |
0% |
$1,000 |
$1,000 |
40% |
0% |
$1,000 |
$1,000 |
30% |
0% |
$1,000 |
$1,000 |
20% |
0% |
$1,000 |
$1,000 |
10% |
0% |
$1,000 |
$1,000 |
0% |
0% |
$1,000 |
$1,000 |
–10% |
–10% |
$1,000 |
$900 |
–20% |
–20% |
$1,000 |
$800 |
–30% |
–30% |
$1,000 |
$700 |
–31% |
–31% |
N/A |
$690 |
–40% |
–40% |
N/A |
$600 |
–50% |
–50% |
N/A |
$500 |
–60% |
–60% |
N/A |
$400 |
| (1) | Does not include any contingent
coupon payments on the securities. |
| (2) | The hypothetical Redemption
Amounts set forth above are for illustrative purposes only and may not be the actual returns applicable to you. The numbers appearing
in the table have been rounded for ease of analysis. |
| (3) | Assumes a Knock-In Level
of 70%** |
| · | Your
investment may result in a loss of up to 100% of the principal amount of securities you hold. If a Knock-In Event has occurred
and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will be fully exposed to any depreciation
in the Lowest Performing Underlying. Regardless of the amount of any payment you receive on the securities, your actual yield
may be different in real value terms. |
| · | The
securities will not pay more than the principal amount of securities you hold plus contingent coupons, if any. |
| · | The
securities do not provide for regular fixed interest payments. If a Coupon Barrier Event has occurred on an Observation Date,
no contingent coupon will be paid with respect to that Observation Date. |
| · | Contingent
coupons, if any, are paid on a periodic basis and are based solely on the Closing Levels of the Underlyings on the specified Observation
Dates. |
| · | More
favorable terms to you are generally associated with an Underlying with greater expected volatility and therefore can indicate
a greater risk of loss. You should therefore understand that a relatively higher contingent coupon may indicate an increased risk
of loss. |
| · | The
value of the securities and the payment of any amount due on the securities are subject to the credit risk of Credit Suisse. |
| · | The
securities are subject to Automatic Redemption, which exposes you to reinvestment risk and may limit your ability to be paid contingent
coupons over the full term of the securities. |
(See "Additional Risk Considerations"
on the next page)
FINANCIAL PRODUCTS
FACT SHEET
|
|
Offering Period: October 1, 2019 –
October 30, 2019
Contingent Coupon Autocallable Yield Notes
due August 5, 2020
Linked to the Performance of the Lowest
Performing of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index
Additional
Risk Considerations
| · | The Redemption Amount will be less than the principal amount of securities
you hold even if a Knock-In Event has occurred with respect to only one Underlying as long as the Final Level of the Lowest Performing
Underlying is less than its Initial Level. The securities are exposed equally to risk of fluctuations in the levels of the Underlyings
to the same degree for each Underlying. |
| · | The securities are linked to the Russell 2000® Index
and are subject to the risks associated with small-capitalization companies. |
| · | Some of the assets included in the Nasdaq-100 Index are issued by foreign
companies. Foreign companies may be subject to different political, market, economic, regulatory and other risks than those applicable
to domestic companies, including changes in foreign governments, economic and fiscal policies, currency exchange laws or other
laws or restrictions. |
| · | Prior to maturity, costs such as concessions and hedging may affect
the value of the securities. |
| · | Credit Suisse currently estimates that the value of the securities
on the Trade Date will be less than the price you pay for the securities, reflecting the deduction of underwriting discounts and
commissions and other costs of creating and marketing the securities. |
| · | If on the Trade Date the internal funding rate we use in structuring
notes such as these securities is lower than the interest rate that is reflected in the yield on our conventional debt securities
of similar maturity in the secondary market (our “secondary market credit spreads”), we expect that the economic terms
of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been
used in structuring the securities. |
| · | 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. |
| · | Liquidity – The securities will not be listed on any securities
exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required
to do so. Many factors, most of which are beyond the control of the Issuer, will influence the value of the securities and the
price at which the securities may be purchased or sold in the secondary market. For example, the creditworthiness of the Issuer,
including actual or anticipated downgrades to the Issuer’s credit ratings, may be a contributing factor. |
| · | Potential Conflicts – We and our affiliates play a variety of
roles in connection with the issuance of the securities, including acting as calculation agent and as agent of the Issuer of the
securities, hedging our obligations under the securities and determining the estimated value of the securities. The agent for this
offering, Credit Suisse Securities (USA) LLC (“CSSU”), is our affiliate. In accordance with FINRA Rule 5121, CSSU may
not make sales in this offering to any discretionary accounts without the prior written approval of the customer. |
| · | The securities will be affected by a number of economic, financial,
political, regulatory, and judicial factors that may either offset or magnify each other. |
| · | As a holder of the securities, you will not have voting rights or rights
to receive cash dividends or other distributions with respect to the equity securities comprising the Underlyings. Your return
on the securities will not reflect the return you would realize if you actually owned the equity securities that comprise the Underlyings. |
| · | The U.S. federal tax consequences of an investment in the securities
are unclear. |
The risks set forth in the section entitled “Certain
Product Risks” on the preceding page and this section “Additional Risk Considerations” are only intended as summaries
of some of the risks relating to an investment in the securities. Prior to investing in the securities, you should, in particular,
review the “Certain Product Risks” and “Additional Risk Considerations” sections herein, the “Selected
Risk Considerations” section in the preliminary pricing supplement and the “Risk Factors” section in the product
supplement, which set forth risks related to an investment in the securities.
Additional
Information
You may revoke your offer to purchase the securities at any
time prior to the time at which we accept such offer on the date the securities are priced. We reserve the right to change the
terms of, or reject any offer to purchase the securities prior to their issuance. In the event of any changes to the terms of the
securities, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose
to reject such changes in which case we may reject your offer to purchase.
This document is a summary of the terms of the securities
and factors that you should consider before deciding to invest in the securities. Credit Suisse has filed a registration statement
(including preliminary pricing supplement, underlying supplement, product supplement, prospectus supplement and prospectus) with
the Securities and Exchange Commission, or SEC, for the offering to which this offering summary relates. Before you invest, you
should read this summary together with the Preliminary Pricing Supplement dated September 30, 2019, Underlying Supplement dated
April 19, 2018, Product Supplement No. I–B dated June 30, 2017, Prospectus Supplement dated June 30, 2017 and Prospectus
dated June 30, 2017, to understand fully the terms of the securities and other considerations that are important in making a decision
about investing in the securities. If the terms described in the applicable preliminary pricing supplement are inconsistent with
those described herein, the terms described in the applicable preliminary pricing supplement will control. You may get these documents
without cost by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, Credit
Suisse, any agent or any dealer participating in this offering will arrange to send you the preliminary pricing supplement, underlying
supplement, product supplement, prospectus supplement and prospectus if you so request by calling toll-free 1-800-221-1037.
This fact sheet is a general description of the terms of the
offering. Please see the full description in the applicable preliminary pricing supplement:
https://www.sec.gov/Archives/edgar/data/1053092/000095010319013171/dp113662_424b2-u4216.htm
You may access the underlying supplement, product supplement,
prospectus supplement and prospectus on the SEC website at www.sec.gov or by clicking
on the hyperlinks to each of the respective documents incorporated by reference in the preliminary pricing supplement.