0000950103-21-013964.txt : 20210915 0000950103-21-013964.hdr.sgml : 20210915 20210914183706 ACCESSION NUMBER: 0000950103-21-013964 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 3 FILED AS OF DATE: 20210915 DATE AS OF CHANGE: 20210914 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE AG CENTRAL INDEX KEY: 0001053092 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 000000000 STATE OF INCORPORATION: V8 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-238458-02 FILM NUMBER: 211253633 BUSINESS ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: 8001 BUSINESS PHONE: 01141 44 333 1111 MAIL ADDRESS: STREET 1: P.O. BOX 1 CITY: ZURICH STATE: V8 ZIP: 8070 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE / /FI DATE OF NAME CHANGE: 20050607 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE FIRST BOSTON / /FI DATE OF NAME CHANGE: 19980115 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE AG CENTRAL INDEX KEY: 0001053092 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 000000000 STATE OF INCORPORATION: V8 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: 8001 BUSINESS PHONE: 01141 44 333 1111 MAIL ADDRESS: STREET 1: P.O. BOX 1 CITY: ZURICH STATE: V8 ZIP: 8070 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE / /FI DATE OF NAME CHANGE: 20050607 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE FIRST BOSTON / /FI DATE OF NAME CHANGE: 19980115 FWP 1 dp157861_fwp-f1828.htm FORM FWP

 

Filed pursuant to Rule 433

Registration Statement No. 333-238458-02

FINANCIAL PRODUCTS

FACTSHEET (F1828)

 

 

 

Contingent Coupon Autocallable Reverse Convertible Securities

Linked to the Performance of the Common Stock of Capital One Financial Corporation

Offering Period: September 14, 2021 – September 17, 2021

 

Summary Product Terms

 

CUSIP 22550MCE7
Issuer Credit Suisse AG (London branch)
Principal Amount $1,000 per security
Term 1 year (if not automatically redeemed)
Trade Date September 17, 2021
Settlement Date September 22, 2021
Key Dates See the applicable pricing supplement
Valuation Date September 19, 2022
Maturity Date September 22, 2022
Underlying The common stock of Capital One Financial Corporation
Initial Level The closing level of the Underlying on the Trade Date
Final Level The closing level of the Underlying on the Valuation Date
Underlying Return (Final Level – Initial Level) / Initial Level
Contingent Coupon Amount At least $26.25 per period (approximately 10.50% p.a.)
Coupon Barrier Level Approximately 75% of the Initial Level
Contingent Coupon Payment Frequency Quarterly
Coupon Barrier Observation Frequency Quarterly
Knock-In Level Approximately 75% of the Initial Level
Autocall Observation Frequency Quarterly
Autocall Level 100% of the Initial Level
Physical Delivery Amount A number of shares of the Underlying equal to the product of (i) $1,000 divided by the Initial Level and (ii) the share adjustment factor.

 

 

Hypothetical Redemption Amounts

 

*The hypothetical Redemption Amounts set forth below are for illustrative purposes only and may not be the actual returns applicable to you. They assume (i) a Knock-In Level of 75%, (ii) a hypothetical Initial Level of $100, (iii) a share adjustment factor of 1.0, (iv) the securities are not automatically redeemed and are held to maturity and (v) if the Physical Delivery Amount is to be delivered at maturity, we do not exercise our right to pay cash instead of the Physical Delivery Amount. The numbers appearing in the table have been rounded for ease of analysis. This table does not include any contingent coupon payments on the securities.

 

Underlying Return

Return on the Securities as of the

Valuation Date*

Redemption Amount per $1,000

Principal Amount

50% 0% $1,000
25% 0% $1,000
10% 0% $1,000
0% 0% $1,000
-10% 0% $1,000
-20% 0% $1,000
-25% 0% $1,000
-26% -26% 10 shares
-30% -30% 10 shares
-50% -50% 10 shares
-75% -75% 10 shares
-100% -100% $0
         

Payoff Description

 

Contingent Coupon Payment

 

Unless the securities have been previously automatically redeemed, if, on any Observation Date, the Underlying closes at or above the Coupon Barrier Level, you will receive the Contingent Coupon Amount.

 

Otherwise, no contingent coupon will be paid.

 

Automatic Redemption

 

If, on any Autocall Observation Date, the Underlying closes at or above the Autocall Level, the securities will be automatically redeemed and you will receive the Principal Amount (and the contingent coupon). No further payments will be made on the securities.

 

Redemption Amount at maturity

 

Unless the securities have been previously automatically redeemed, if, on the Valuation Date, the Underlying closes at or above the Knock-In Level, you will receive the Principal Amount (and the contingent coupon).

 

However, if the Underlying closes below the Knock-In Level, you will receive a number of shares of the Underlying equal to the Physical Delivery Amount, plus a cash amount in respect of any fractional share, subject to our election to pay cash instead. The value of the shares or cash as of the Valuation Date will be less than $750 per $1,000 principal amount of securities. You could lose your entire investment.

 

Any payment or delivery on the securities is subject to our ability to meet our obligations as they become due.

 

Final terms will be determined on the Trade Date and will be provided in the pricing supplement. The actual contingent coupon rate will not be lower than the rate displayed in this document and the Knock-In Level and Coupon Barrier Level will not be greater than the levels set forth herein. Please see the accompanying preliminary pricing supplement for more information.

 

 

 

Selected Risk Considerations

  

The risks set forth below 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 “Selected Risk Considerations” section 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.

 

Risks Relating to the Securities Generally

oYour investment may result in a loss of up to 100% of the principal amount of securities you hold. If the Underlying closes below the Knock-In Level, you will be fully exposed to any depreciation in the Underlying. Regardless of the amount of any payment or delivery you receive on the securities, your actual yield may be different in real value terms.

oThe securities will not pay more than the principal amount of securities you hold plus contingent coupons, if any.

oThe securities do not provide for regular fixed interest payments. If the Underlying closes below the Coupon Barrier Level on an Observation Date, no contingent coupon will be paid with respect to that Observation Date.

oContingent coupons, if any, are paid on a periodic basis and are based solely on the closing levels of the Underlying on the specified Observation Dates.

oMore 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.

oThe 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.

oThe value of the Physical Delivery Amount could be less on the Maturity Date than on the Valuation Date.

oThe Redemption Amount will be less than the principal amount of securities you hold even if the Underlying closes below the Knock-In Level on the Valuation Date.

oThe U.S. federal tax consequences of an investment in the securities are unclear.

Risks Relating to the Underlying

oWe have no affiliation with the Reference Share Issuer.

oAs a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions with respect to the Underlying. Your return on the securities will not reflect the return you would realize if you actually owned shares of the Underlying.

oIf an event occurs that does not require the calculation agent to make an anti-dilution adjustment, or if an adjustment is made but such adjustment does not fully reflect the economics of such event, the value of the securities may be materially and adversely affected.

oGovernment regulatory action, including legislative acts and executive orders, could result in material changes to the Underlying and could negatively affect your return on the securities.

 

 

Risks Relating to the Issuer

oThe value of the securities and the payment of any amount due on the securities are subject to the credit risk of Credit Suisse.

oAs 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.

Risks Relating to Conflicts of Interest

oWe 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. We and/or our affiliates may also currently or from time to time engage in business with the Reference Share Issuer, including extending loans to, or making equity investments in, the Reference Share Issuer or providing advisory services to the Reference Share Issuer.

Risks Relating to Estimated Value and Secondary Market Prices of the Securities

oThe securities will be affected by a number of economic, financial, political, regulatory, judicial and other factors that may either offset or magnify each other.

oPrior to maturity, costs such as concessions and hedging may affect the value of the securities.

oCredit Suisse currently estimates the value of each $1,000 principal amount of the securities on the Trade Date will be between $950 and $987.50 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)), and the estimated value of the securities on the Trade Date may be less than the price to public.

oIf 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.

oThe 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.

 

 

 

 

Important Notice

 

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 AG has filed a registration statement (including preliminary pricing 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 14, 2021, Product Supplement No. I–A dated June 18, 2020, Prospectus Supplement dated June 18, 2020 and Prospectus dated June 18, 2020, 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, 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/1053092/000095010321013920/dp157837_424b2-f1828.htm

 

You may access the 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.

 

Please note that “we” and “our” refer to Credit Suisse AG and its affiliates in this document.

 

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CREDIT SUISSE SECURITIES (USA) LLC

credit-suisse.com

 

Copyright © 2021 Credit Suisse Group AG and/or its affiliates. All rights reserved. 

 

 

 

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