0000950103-21-016965.txt : 20211101 0000950103-21-016965.hdr.sgml : 20211101 20211029183402 ACCESSION NUMBER: 0000950103-21-016965 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 3 FILED AS OF DATE: 20211101 DATE AS OF CHANGE: 20211029 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: 211364707 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 dp160939_fwp-k1810.htm FORM FWP

Filed pursuant to Rule 433

Registration Statement No. 333-238458-02 

FINANCIAL PRODUCTS

FACTSHEET (K1810) 

 

Buffered Accelerated Return Equity Securities

Linked to the Lowest Performing of the iShares® MSCI EAFE® ETF and the EURO STOXX 50® Index 

Offering Period: November 1, 2021 – November 23, 2021

Summary Product Terms 

CUSIP 22553P2J7
Issuer Credit Suisse AG (London branch)
Principal Amount $1,000 per security
Term 4 years
Trade Date November 24, 2021
Settlement Date November 30, 2021
Valuation Date November 24, 2025
Maturity Date November 28, 2025
Underlyings

iShares® MSCI EAFE® ETF

EURO STOXX 50® Index

Initial Level The closing level of such Underlying on the Trade Date
Final Level The closing level of such Underlying on the Valuation Date
Underlying Return (Final Level – Initial Level) / Initial Level
Lowest Performing Underlying The Underlying with the lowest Underlying Return
Upside Participation Rate Expected to be 182% (to be determined on the Trade Date)
Buffer Level For each Underlying,  approximately 90% of its Initial Level
Buffer Amount Expected to be 10% (to be determined on the Trade Date)

 

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) an Upside Participation Rate of 182%, (ii) a Buffer Level of 90% and (iii) a Buffer Amount of 10%. The numbers appearing in the table have been rounded for ease of analysis.

 

Underlying Return of Lowest Performing Underlying Return on the Securities* Redemption Amount per $1,000 Principal Amount
50% 91% $1,910
40% 72.80% $1,728
30% 54.60% $1,546
20% 36.40% $1,364
10% 18.20% $1,182
0% 0% $1,000
−5% 0% $1,000
−10% 0% $1,000
−11% −1% $990
−20% −10% $900
−30% −20% $800
−40% −30% $700
−50% −40% $600

 

Payoff Description

 

Redemption Amount at maturity

 

If, on the Valuation Date, each Underlying closes at or above its Initial Level, you will receive the Principal Amount plus a return based on the leveraged upside performance of the Lowest Performing Underlying.

 

If the Lowest Performing Underlying closes below its Initial Level and at or above its Buffer Level, you will receive the Principal Amount.

 

However, if at least one Underlying closes below its Buffer Level, you will be exposed to any depreciation in the Lowest Performing Underlying from its Initial Level to its Final Level beyond its Buffer Level. You could lose up to $900 per $1,000 Principal Amount.

 

Any payment on the securities is subject to our ability to pay 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 Upside Participation Rate will not be lower than the rate displayed in this document and the Buffer Levels 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

 

oIf the Final Level of the Lowest Performing Underlying is less than its Buffer Level, you will lose 1% of your principal for each 1% decline from its Initial Level to its Final Level beyond its Buffer Level. You could lose up to $900 per $1,000 principal amount of securities. Regardless of the amount of any payment you receive on the securities, your actual yield may be different in real value terms.

 

oThe securities do not pay interest.

 

oThe probability that the Final Level of the Lowest Performing Underlying will be less than its Buffer Level will depend on the volatility of such Underlying.

 

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

 

·Risks Relating to the Underlyings

 

oThe Redemption Amount will be less than the principal amount of securities you hold even if only one Underlying closes below its Buffer Level on the Valuation Date. The securities are exposed equally to risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying.

 

oSome or all of the assets included in the EURO STOXX 50® Index and the iShares® MSCI EAFE® ETF (the “Reference Fund”) are issued by foreign companies and trade in foreign securities markets. Investments in the securities therefore involve risks associated with the securities markets in those countries, including risks of volatility in those markets, government intervention in those markets and cross shareholdings in companies in certain countries.

 

oAlthough shares of the Reference Fund are listed for trading on a national securities exchange and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Reference Fund or that there will be liquidity in the trading market.

 

oThe performance and market value of the Reference Fund, particularly during periods of market volatility, may not correlate to the performance of the index tracked by the Reference Fund.

 

oBecause the prices of the equity securities included in the Reference Fund are converted into U.S. dollars for purposes of calculating the level of the Reference Fund, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities included in the Reference Fund trade.

 

oThe closing level of the EURO STOXX 50® Index will not be adjusted for changes in exchange rates relative to the U.S. dollar even though the equity securities included in the EURO STOXX 50® Index are traded in a foreign currency and the securities are denominated in U.S. dollars.

 

oYour return on the securities will not reflect the return you would realize if you actually owned shares of the Reference Fund or the equity securities that comprise the Underlyings.

 

oAs a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to shares of the Reference Fund or the equity securities comprising the Underlyings.

 

 

oThe calculation agent will make anti-dilution adjustments for certain events affecting the Reference Fund.

 

oGovernment regulatory action, including legislative acts and executive orders, could result in material changes to the Underlyings 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.

 

·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 $920 and $960 (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 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 October 29, 2021, Underlying Supplement dated June 18, 2020, Product Supplement No. I–B dated June 18, 2020, Product Supplement No. I–C 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, 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/1053092/000095010321016929/dp160891_424b2-k1810.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.

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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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